A competing risks analysis of the duration of federal target funds rates

DOI10.1016/J.COR.2010.10.002MaRDI QIDQ1762045zbMATHOpenAlexFDO

Authors Ester Gutiérrez, Sebastián Lozano

Publication date 15 November 2012

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2010.10.002

zbMATH Keywords

competing riskssurvival analysisinterest ratesfederal reserve

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

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• Competing Risks
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• Modelling the Probability of Leaving Unemployment: Competing Risks Models with Flexible Base-Line Hazards
• Neural network survival analysis for personal loan data
• Nonlinear interest rate dynamics and implications for the terms structure
• Nonparametric Estimation from Incomplete Observations
• Nonparametric estimation of partial transition probabilities in multiple decrement models
• On the Use of Cause-Specific Failure and Conditional Failure Probabilities: Examples From Clinical Oncology Data
• Parametric regression on cumulative incidence function
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Cited in

(1)

• News-based forecasts of macroeconomic indicators: a semantic path model for interpretable predictions

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Uses Software

• cmprsk

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