The RATS Software Forum

Posted: **Mon May 09, 2016 10:45 am**

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

Posted: **Mon May 09, 2016 12:04 pm**

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

Longstaff & Schwartz 2 Factor model estimation?