Term structure analysis with big data : one-step estimation using bond prices
Martin M. Andreasen, Jens H.E. Christensen, Glenn D. Rudebusch
| Year of publication: |
2019
|
|---|---|
| Authors: | Andreasen, Martin Møller ; Christensen, Jens H. E. ; Rudebusch, Glenn D. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 212.2019, 1, p. 26-46
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| Subject: | Arbitrage-free Nelson–Siegel model | Extended Kalman filter | Fixed-coupon bond prices | Anleihe | Bond | Zustandsraummodell | State space model | Zinsstruktur | Yield curve | CAPM | Big Data | Big data | Schätztheorie | Estimation theory | Schätzung | Estimation | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.04.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012303862