CONSISTENT YIELD CURVE PREDICTION (Q4563766)

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scientific article; zbMATH DE number 6880325
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CONSISTENT YIELD CURVE PREDICTION
scientific article; zbMATH DE number 6880325

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    title
    CONSISTENT YIELD CURVE PREDICTION (English)
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    DOI
    10.1017/asb.2015.30
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    author
    Josef Teichmann
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    Mario V. Wüthrich
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    publication date
    4 June 2018
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    zbMATH DE Number
    6880325
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    zbMATH Keywords
    yield curve prediction
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    no-arbitrage
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    Heath-Jarrow-Morton type model
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    volatility scaling factors and return directions
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    OpenAlex ID
    W2416633506
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