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

Oliver Linton, Davide La Vecchia, Bonsoo Koo, Bonsoo Koo, Oliver Linton, Davide La Vecchia

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

zbMATH Keywords

panel datanonparametric inferencetime varyingyield curve dynamics

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Title not available (Why is that?)
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Cited In (3)

• 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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