Nonparametric confidence intervals of instantaneous forward rates

DOI10.1016/S0167-6687(00)00037-8MaRDI QIDQ1584515zbMATH OpenWikidataFDO

Authors Jacques F. Carriere

Publication date 2 May 2001

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

correlationheteroscedasticitysplinesbootstrappingterm structure of interest ratesinstantaneous forward ratesstrip bonds

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3782216 (Why is no real title available?)
• scientific article; zbMATH DE number 46726 (Why is no real title available?)
• Smoothing methods in statistics

Cited in

(1)

• Constrained smoothing \(B\)-splines for the term structure of interest rates

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