A hybrid spline-based parametric model for the yield curve

DOI10.1016/J.JEDC.2017.10.009zbMath1401.62207OpenAlexW2587792384MaRDI QIDQ1657153

Caio Almeida, Adriano Faria

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2017.10.009

zbMATH Keywords

curve fittingrisk managementprice indexspline modelsexponential term structure models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Term structure analysis with big data: one-step estimation using bond prices

Uses Software

• CAViaR
• Dowd

Cites Work

• Unnamed Item
• Forecasting the term structure of government bond yields
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Tests of Conditional Predictive Ability
• Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
• A practical guide to splines.

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