The Estimation of Svensson Model Term Structures and Their Volatilities
Year of publication: |
2012
|
---|---|
Authors: | Annaert, Jan |
Other Persons: | Claes, Anouk G. P. (contributor) ; de Ceuster, Marc J. K. (contributor) ; Zhang, Hairui (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory | Schätzung | Estimation |
Extent: | 1 Online-Ressource (33 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 4, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.2054693 [DOI] |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; C51 - Model Construction and Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Modeling Volatility in Dynamic Term Structure Models
Doshi, Hitesh, (2021)
-
Koopman, Siem Jan, (2007)
-
Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus, (2010)
- More ...
-
Estimating the long rate and its volatility
Annaert, Jan, (2015)
-
Estimating the Yield Curve Using the Nelson-Siegel Model : A Ridge Regression Approach
Annaert, Jan, (2015)
-
Estimating the spot rate curve using the Nelson-Siegel model : a ridge regression approach
Annaert, Jan, (2013)
- More ...