Nonparametric confidence intervals of instantaneous forward rates

DOI10.1016/S0167-6687(00)00037-8zbMATH Open0959.62095WikidataQ127808031 ScholiaQ127808031MaRDI QIDQ1584515FDOQ1584515

Authors: Jacques F. Carriere 

Publication date: 2 May 2001

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

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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)

Cites Work

• Smoothing methods in statistics
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (1)

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

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