A hybrid spline-based parametric model for the yield curve
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DOI: 10.1016/j.jedc.2017.10.009
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Cited by:
- Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch, 2017.
"Term Structure Analysis with Big Data,"
Working Paper Series
2017-21, Federal Reserve Bank of San Francisco.
- Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
- Piero C. Kauffmann & Hellinton H. Takada & Ana T. Terada & Julio M. Stern, 2022. "Learning Forecast-Efficient Yield Curve Factor Decompositions with Neural Networks," Econometrics, MDPI, vol. 10(2), pages 1-15, March.
- Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
- Zhang Chen & Ibrahim Sakouba, 2021. "Impact of the number of bonds on bond portfolio exposure to interest rate risk," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4777-4797, July.
- Oleksandr Castello & Marina Resta, 2023. "A Machine-Learning-Based Approach for Natural Gas Futures Curve Modeling," Energies, MDPI, vol. 16(12), pages 1-22, June.
- Sabit Khakimzhanov & Yerulan Mustafin & Olzhas Kubenbayev & Dulat Atabek, 2019. "Constructing a Yield Curve in a Market with Low Liquidity," Russian Journal of Money and Finance, Bank of Russia, vol. 78(4), pages 71-98, December.
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More about this item
Keywords
Spline models; Exponential term structure models; Curve fitting; Risk management; Price index;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
Statistics
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