Estimation of a nonparametric model for bond prices from cross-section and time series information
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Publication:104342
DOI10.1016/j.jeconom.2020.04.014zbMath1464.62419OpenAlexW2996740172MaRDI QIDQ104342
Bonsoo Koo, Oliver Linton, Davide La Vecchia, Davide La Vecchia, Bonsoo Koo, Oliver B. Linton
Publication date: February 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.monash.edu/business/ebs/research/publications/ebs/wp04-2020.pdf
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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