Yield Curve Forecasting with the Burg Model-Reference-Cited by-同舟云学术

Yield Curve Forecasting with the Burg Model

Published:2016-04-25 Issue:1 Volume:36 Page:91-99
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

Rostan Pierre¹^ORCID,Belhachemi Rachid²,Racicot François-Eric³

Affiliation:

1. Department of Management; American University in Cairo; Egypt

2. Department of Mathematical Science; Xi'an Jiaotong-Liverpool University; Jiangsu China

3. Telfer School of Management; University of Ottawa; Ontario Canada

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/for.2416/fullpdf

Reference47 articles.

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2. Estimating continuous-time stochastic volatility models of the short-term interest rate;Andersen;Journal of Econometrics,1997

3. Accurate short-term yield curve forecasting using functional gradient descent;Audrino;Journal of Financial Econometrics,2007

4. Financial Derivatives

5. Bernadell C Coche J Nyholm K 2005 Yield curve prediction for the strategic investor

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