Estimating the long rate and its volatility
Jan Annaert, Anouk G.P. Claes, Marc J.K. De Ceuster, Hairui Zhang
| Year of publication: |
April 2015
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|---|---|
| Authors: | Annaert, Jan ; Claes, Anouk G. P. ; De Ceuster, Marc J. ; Zhang, Hairui |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 129.2015, p. 100-102
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| Subject: | Long rate | Nelson–Siegel model | Svensson model | Ridge regression | Volatilität | Volatility | Schätzung | Estimation | Schätztheorie | Estimation theory | Zins | Interest rate | Regressionsanalyse | Regression analysis | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2015.02.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011422029