A constrained least square method for estimating a smooth, nonnegative forward rate sequence
Hiroshi Konno and Sumito Ito
| Year of publication: |
2005
|
|---|---|
| Authors: | Konno, Hiroshi ; Ito, Sumito |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 8.2005, 7, p. 988-998
|
| Subject: | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Kleinste-Quadrate-Methode | Least squares method |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003206762