Longstaff & Schwartz 2 Factor model estimation?

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Paradox4412w
Posts: 7
Joined: Mon Feb 29, 2016 12:32 pm

Longstaff & Schwartz 2 Factor model estimation?

Unread post by Paradox4412w »

Has anyone tried to estimate the Longstaff & Schwartz 2 factor model in RATS?

Longstaff and Schwartz, Journal of Finance, 1992. http://personal.anderson.ucla.edu/franc ... strate.pdf
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Longstaff & Schwartz 2 Factor model estimation?

Unread post by TomDoan »

Won't that be fairly similar to CKLS but with somewhat different moment conditions?
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