Estimating the long rate and its volatility

DOI10.1016/J.ECONLET.2015.02.022MaRDI QIDQ500503zbMATH OpenOpenAlexFDO

Authors Jan Annaert, Anouk G. P. Claes, Marc J. K. De Ceuster, Hairui Zhang

Publication date 5 October 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/10067/1236220151162165141

zbMATH Keywords

ridge regressionlong rateNelson-Siegel modelSvensson model

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• A new technique for postsample model selection and validation
• Automatic Block-Length Selection for the Dependent Bootstrap

Cited in

(2)

• Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach
• scientific article; zbMATH DE number 1208135 (Why is no real title available?)

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