Estimating the long rate and its volatility (Q500503)

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scientific article
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English
Estimating the long rate and its volatility
scientific article

    Statements

    title
    Estimating the long rate and its volatility (English)
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    author
    Jan Annaert
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    Anouk G. P. Claes
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    Marc J. K. De Ceuster
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    Hairui Zhang
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    publication date
    5 October 2015
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    zbMATH Keywords
    long rate
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    Nelson-Siegel model
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    Svensson model
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    ridge regression
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62J07
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    91G70
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    zbMATH DE Number
    6489264
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    OpenAlex ID
    W2104453155
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