Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation
Year of publication: |
2003-09-30
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Authors: | Krippner, Leo |
Institutions: | Department of Economics, Waikato Management School |
Subject: | yield curve | term structure of interest rates | Nelson and Siegel model | Heath-Jarrow-Morton framework |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 54 pages |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; C22 - Time-Series Models ; G12 - Asset Pricing |
Source: |
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Krippner, Leo, (2005)
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A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models
Krippner, Leo, (2008)
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A New Framework for Yield Curve, Output and Inflation Relationships
Krippner, Leo, (2005)
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Krippner, Leo, (2005)
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Krippner, Leo, (2005)
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Krippner, Leo, (2005)
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