Fourier estimation method applied to forward interest rates

DOI10.14495/JSIAML.4.17MaRDI QIDQ2843201zbMATH OpenOpenAlexFDO

Authors Nien-Lin Liu, Maria Elvira Mancino

Publication date 9 August 2013

Published in JSIAM Letters (Search for Journal in Brave)

Full work available at URL https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=4_17&screenID=AF06S010&noVol=4&noIssue=0

zbMATH Keywords

principal component analysisterm structure of interest ratesFourier series method

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(2)

• Affine term structure as multi-soliton
• A noisy principal component analysis for forward rate curves

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