Consistent yield curve prediction
by Josef Teichmann and Mario V. Wüthrich
| Year of publication: |
2016
|
|---|---|
| Authors: | Teichmann, Josef ; Wüthrich, Mario V. |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 46.2016, 2, p. 191-224
|
| Subject: | Yield curve prediction | no-arbitrage | Heath-Jarrow-Morton type model | volatility scaling factors and return directions | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Volatilität | Volatility | Rendite | Yield | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2015.30 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011576708