Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels
Year of publication: |
2008-10
|
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Authors: | Gospodinov, Nikolay ; Hirukawa, Masayuki |
Institutions: | Department of Economics, Concordia University |
Subject: | Nonparametric regression | Gamma kernel | diffusion estimation | spot interest rate | derivative pricing |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 08011 34 pages |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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