Adaptive interest rate modelling

DOI10.1002/FOR.2431zbMATH Open1397.91583OpenAlexW3122135593MaRDI QIDQ4687604FDOQ4687604

Authors: Mengmeng Guo, Wolfgang K. Härdle 

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-029.pdf

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zbMATH Keywords

CIR modeladaptive statistical techniqueslocal parametric approachtime homogeneous interval

Mathematics Subject Classification ID

Credit risk (91G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• Adjustable and fixed interest rates mortgage markets modelling
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• Prediction of interest rate using CKLS model with stochastic parameters

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