Term structure of interest rates estimation using rational Chebyshev functions

DOI10.1007/S10203-014-0161-6MaRDI QIDQ894201zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 108071 (Why is no real title available?)
• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• scientific article; zbMATH DE number 3081828 (Why is no real title available?)
• A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT
• 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
• Forecasting the term structure of government bond yields
• Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
• Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
• Level–Slope–Curvature – Fact or Artefact?
• Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?
• Projection methods for solving aggregate growth models
• Using Chebyshev polynomials to approximate partial differential equations

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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