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Constrained smoothing -splines for the term structure of interest rates · Study

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ArticleConstrained smoothing -splines for the term structure of interest rates

Márcio Poletti Laurini2009

Article2009

Constrained smoothing -splines for the term structure of interest rates

Márcio Poletti Laurini · Marcelo L. Moura

24 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1987Parsimonious Modeling of Yield Curves 1993Dynamic Asset Pricing Theory.1985An Intertemporal General Equilibrium Model of Asset Prices 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 2001Stochastic Processes for Insurance and Finance 1994Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994 1975THE TAX‐ADJUSTED YIELD CURVE 1971Measuring the Term Structure of Interest Rates

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Year2009

Typearticle

Published2009-12-03

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2009.11.008

openalex_workW2068633833

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