Estimation of a nonparametric model for bond prices from cross-section and time series information
DOI10.1016/J.JECONOM.2020.04.014zbMATH Open1464.62419OpenAlexW2996740172MaRDI QIDQ104342FDOQ104342
Authors: Bonsoo Koo, Davide La Vecchia, Oliver Linton, Bonsoo Koo, Davide La Vecchia, Oliver 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
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Cited In (9)
- A nonparametric model for analysis of the EURO bond market
- Prediction of individual bond prices via a dynamic bond pricing model: application to Japanese Government bond price data
- A dynamic model of expected bond returns: A functional gradient descent approach
- New bond pricing models with applications to Japanese data
- Advances in Neural Networks – ISNN 2005
- Forecasting the US term structure of interest rates using nonparametric functional data analysis
- ycevo
- Parameter Estimation of Parabolic Type Factor Model and Empirical Study of US Treasury Bonds
- Yield curve estimation by kernel smoothing methods
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