CONSISTENT YIELD CURVE PREDICTION
From MaRDI portal
Publication:4563766
DOI10.1017/asb.2015.30zbMath1390.91310MaRDI QIDQ4563766
Mario V. Wüthrich, Josef Teichmann
Publication date: 4 June 2018
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/d9c8e529fa91fc1520840f5098e23ced1a089517
no-arbitrage; yield curve prediction; Heath-Jarrow-Morton type model; volatility scaling factors and return directions
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G30: Interest rates, asset pricing, etc. (stochastic models)