Short rate forecasting based on the inference from the cir model for multiple yield curve dynamics
Lin-Yee Hin and Nikolai Dokuchaev (Department of Mathematics and Statistics, Curtin University, Perth, Australia)
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Hin, Lin-Yee ; Dokučaev, Nikolaj G. |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 11.2016, 1, p. 1-33
|
| Subject: | Interest rates | CIR spot rate model | optimization | Zinsstruktur | Yield curve | Zins | Interest rate | Prognoseverfahren | Forecasting model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010495216500044 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011504170