Estimating interest rate curves by support vector regression

DOI10.1080/07474938.2010.481998MaRDI QIDQ3063863zbMATH OpenOpenAlexFDO

Authors André Monteiro

Publication date 15 December 2010

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2010.481998

zbMATH Keywords

bid-ask spreadinterest rate curvesinterest rate swapssupport vector regression

Mathematics Subject Classification ID

General nonlinear regression (62J02) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

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Cites work

• A practical guide to splines
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• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 823069 (Why is no real title available?)
• scientific article; zbMATH DE number 928746 (Why is no real title available?)
• scientific article; zbMATH DE number 3214054 (Why is no real title available?)
• Regularization networks and support vector machines
• Yield curve estimation by kernel smoothing methods

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(4)

• Shape constrained risk-neutral density estimation by support vector regression
• Estimating the market share attraction model using support vector regressions
• Study of the dynamics of the interest rate swap using machine learning methods
• Stripping the Swiss discount curve using kernel ridge regression

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