Modifying hybrid optimisation algorithms to construct spot term structure of interest rates and proposing a standardised assessment
Aryo Sasongko, Cynthia Afriani Utama, Buddi Wibowo, Zaäfri Ananto Husodo
| Year of publication: |
2019
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|---|---|
| Authors: | Sasongko, Aryo ; Utama, Cynthia Afriani ; Wibowo, Buddi ; Husodo, Zaäfri Ananto |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 54.2019, 3, p. 957-1003
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| Subject: | Hybrid optimisation algorithms | Modified Bolder and Stréliski performance indicators | Monte Carlo method | Nelson Siegel extensions | Newton method | Term structure of interest rates | Zinsstruktur | Yield curve | Theorie | Theory | Algorithmus | Algorithm | Monte-Carlo-Simulation | Monte Carlo simulation | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-018-9848-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012134486