Score-Driven Nelson Siegel: Hedging Long-Term Liabilities.-Reference-Cited by-同舟云学术

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Score-Driven Nelson Siegel: Hedging Long-Term Liabilities.

Published:2016 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Quaedvlieg Rogier,Schotman Peter C.

Publisher

Elsevier BV

Reference35 articles.

1. Pricing the term structure with linear regressions;T References Adrian;Journal of Financial Economics,2013

2. Direct Estimation of the Risk Neutral Factor Dynamics of Gaussian Term Structure Models;D Bams;Journal of Econometrics,2003

3. Restrictions on risk prices in dynamic term structure models;M D Bauer;Journal of Business & Economic Statistics,2018

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Discount Rate Regulation for Canadian Private Defined Benefit Pension Plans;SSRN Electronic Journal;2017

2. Accounting for missing values in score-driven time-varying parameter models;Economics Letters;2016-11

3. Accounting for Missing Values in Score-Driven Time-Varying Parameter Models;SSRN Electronic Journal;2016

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