✦ LIBER ✦

Monotonicity preserving regression techniques for interest rate term structure estimation: A note

✍ Scribed by Barzanti, Luca ;Corradi, Corrado

Book ID: 110655633
Publisher: Springer
Year: 1997
Weight: 443 KB
Volume: 20
Category: Article
ISSN: 1127-1035
DOI: 10.1007/bf02728996

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A note on interest rate term structure e

A note on interest rate term structure estimation using tension splines

✍ Luca Barzanti; Corrado Corradi 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 366 KB

Tension splines are proposed as a flexible tool for interest rate term structure estimation to circumvent some difficulties arising with tbe ordinary cubic spline estimators. A few computational experiments on test problems support the merits of the proposed approach.

A Monte Carlo Filtering Approach for Est

A Monte Carlo Filtering Approach for Estimating the Term Structure of Interest Rates

✍ Akihiko Takahashi; Seisho Sato 📂 Article 📅 2001 🏛 Springer Japan 🌐 English ⚖ 700 KB

Erratum to: “A note on interest rate ter

Erratum to: “A note on interest rate term structure estimation using tension splines” [Insurance: Mathematics and Economics 22 (1998) 139–143]

✍ Luca Barzanti; Corrado Corradi 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 99 KB

On the de-facto convex structure of a le

On the de-facto convex structure of a least square problem for estimating the term structure of interest rates

✍ Hiroshi Konno; Toru Takase 📂 Article 📅 1996 🏛 Springer 🌐 English ⚖ 362 KB