Robust term structure estimation in developed and emerging markets
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/article/10.1007/s10479-016-2282-5/fulltext.html
Reference36 articles.
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2. Annaert, J., Claes, A. G., De Ceuster, M. J., & Zhang, H. (2012a). Estimating the yield curve using the Nelson-Siegel model: A ridge regression approach. International Review of Economics & Finance, 27, 482–496.
3. Annaert, J., Claes, A. G. P., De Ceuster, M. J. K., & Zhang, H. (2012b). The estimation of Svensson model term structures and their volatilities. Available at SSRN 2054693.
4. Bertocchi, M., & Moriggia, V. (2000). Sensitivity of bond portfolio’s behavior with respect to random movements in yield curve: A simulation study. Annals of Operations Research, 99(1), 267–286. doi: 10.1023/A:1019227901758 .
5. BIS. (2005). Zero-coupon yield curves: Technical documentation. Technical Report 25, Bank of International Settlements.
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