Estimating the spot rate curve using the Nelson-Siegel model : a ridge regression approach
Jan Annaert; Anouk G. P. Claes; Marc J. K. De Ceuster; Hairui Zhang
| Year of publication: |
2013
|
|---|---|
| Authors: | Annaert, Jan ; Claes, Anouk G. P. ; De Ceuster, Marc J. ; Zhang, Hairui |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 27.2013, p. 482-496
|
| Subject: | Smoothed bootstrap | Ridge regression | Nelson-Siegel | Spot rates | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Zins | Interest rate | Schätzung | Estimation | Bootstrap-Verfahren | Bootstrap approach |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009740778