Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
Nikolay Gospodinov, Masayuki Hirukawa
| Year of publication: |
2012
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|---|---|
| Authors: | Gospodinov, Nikolaj ; Hirukawa, Masayuki |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 19.2012, 4, p. 595-609
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| Subject: | Nonparametric regression | Gamma kernel | Diffusion estimation | Spot interest rate | Derivative pricing | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Zinsstruktur | Yield curve | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Zins | Interest rate | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Nichtparametrische Schätzung | Nonparametric estimation |
| 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/10009615659