ycevo (Q104343)
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Nonparametric Estimation of the Yield Curve Evolution
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | ycevo |
Nonparametric Estimation of the Yield Curve Evolution |
Statements
Nathaniel Tomasetti
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Kai-yang Goh
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19 August 2025
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Nonparametric estimation of discount functions and yield curves from transaction data of coupon paying bonds. Koo, B., La Vecchia, D., & Linton, O. B. (2021) <doi:10.1016/j.jeconom.2020.04.014> describe an application of this package using the Center for Research in Security Prices (CRSP) Bond Data and document its implementation.
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