Estimating the long rate and its volatility
Year of publication: |
2015
|
---|---|
Authors: | Annaert, Jan ; Claes, Anouk G.P. ; Ceuster, Marc J.K. De ; Zhang, Hairui |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 129.2015, C, p. 100-102
|
Publisher: |
Elsevier |
Subject: | Long rate | Nelson–Siegel model | Svensson model | Ridge regression |
-
Estimating the long rate and its volatility
Annaert, Jan, (2015)
-
Delucchi, Alessio, (2023)
-
Comparing different methods for the estimation of interbank intraday yield curves
Jeleskovic, Vahidin, (2018)
- More ...
-
Estimating the spot rate curve using the Nelson–Siegel model
Annaert, Jan, (2013)
-
Estimating the spot rate curve using the Nelson–Siegel model
Annaert, Jan, (2013)
-
Does the Compass Rose pattern matter for testing normality?
ANNAERT, Jan, (2003)
- More ...