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Advanced continuous time dynamic modelling of the Japanese yield curve

Nowman, Kalid Ben - In: Interest rates : term structure models, monetary …, (pp. 3-17). 2012

Persistent link: https://www.econbiz.de/10009658370

Long-run risks in the term structure of interest rates : estimation

Doh, Taeyoung - In: Journal of applied econometrics 28 (2013) 3, pp. 478-497

Persistent link: https://www.econbiz.de/10009756493

The co-integrated vector autoregression with errors-in-variables

Bohn Nielsen, Heino - In: Econometric reviews 35 (2016) 1/4, pp. 169-200

Persistent link: https://www.econbiz.de/10011549904

Residual-based tests for fractional cointegration : testing the term structure of interest rates

Zhang, Dayong; Barassi, Marco R.; Tan, Jijun - In: Econometric reviews 34 (2015) 6/10, pp. 1118-1140

Persistent link: https://www.econbiz.de/10011483452

Testing cointegration in quantile regressions with an application to the term structure of interest rates

Kuriyama, Nina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 2, pp. 107-121

Persistent link: https://www.econbiz.de/10011507436

Exact smooth term structure estimation

Filipović, Damir; Willems, Sander - 2016

We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy to implement and requires only basic...

Persistent link: https://www.econbiz.de/10011516039