Term structure of interest rates estimation using rational Chebyshev functions

DOI10.1007/S10203-014-0161-6zbMATH Open1398.91628OpenAlexW2007642575MaRDI QIDQ894201FDOQ894201

Polychronis Manousopoulos, Michalis Michalopoulos

Publication date: 27 November 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-014-0161-6

zbMATH Keywords

yield curveterm structure of interest ratesrational Chebyshev functions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Best approximation, Chebyshev systems (41A50) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Forecasting the term structure of government bond yields
• Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
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• Projection methods for solving aggregate growth models
• Level–Slope–Curvature – Fact or Artefact?
• Using Chebyshev polynomials to approximate partial differential equations
• Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
• Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
• Comparison of non-linear optimization algorithms for yield curve estimation
• Nelson–Siegel, Affine and Quadratic Yield Curve Specifications: Which One is Better at Forecasting?
• A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT

Cited In (2)

• Advances in Neural Networks – ISNN 2005
• Estimating a fuzzy term structure of interest rates using fuzzy regression techniques.

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