Estimating the long rate and its volatility

DOI10.1016/J.ECONLET.2015.02.022zbMATH Open1321.62126OpenAlexW2104453155MaRDI QIDQ500503FDOQ500503

Authors: Jan Annaert, Anouk G. P. Claes, Marc J. K. De Ceuster, Hairui Zhang 

Publication date: 5 October 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/10067/1236220151162165141

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zbMATH Keywords

ridge regressionlong rateNelson-Siegel modelSvensson model

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Automatic Block-Length Selection for the Dependent Bootstrap
• A new technique for postsample model selection and validation

Cited In (2)

• Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach
• Title not available (Why is that?)

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