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Estimating a fuzzy term structure of interest rates using fuzzy regression techniques

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  • de Andres Sanchez, Jorge
  • Terceno Gomez, Antonio

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  • de Andres Sanchez, Jorge & Terceno Gomez, Antonio, 2004. "Estimating a fuzzy term structure of interest rates using fuzzy regression techniques," European Journal of Operational Research, Elsevier, vol. 154(3), pages 804-818, May.
    • Handle: RePEc:eee:ejores:v:154:y:2004:i:3:p:804-818
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    References listed on IDEAS

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    1. Lemaire, Jean, 1990. "Fuzzy Insurance," ASTIN Bulletin, Cambridge University Press, vol. 20(1), pages 33-55, April.
    2. Chambers, Donald R. & Carleton, Willard T. & Waldman, Donald W., 1984. "A New Approach to Estimation of the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(3), pages 233-252, September.
    3. Vasicek, Oldrich A & Fong, H Gifford, 1982. "Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-348, May.
    4. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
    5. Tanaka, Hideo & Hayashi, Isao & Watada, Junzo, 1989. "Possibilistic linear regression analysis for fuzzy data," European Journal of Operational Research, Elsevier, vol. 40(3), pages 389-396, June.
    6. Carleton, Willard T & Cooper, Ian A, 1976. "Estimation and Uses of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 31(4), pages 1067-1083, September.
    7. McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-830, June.
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    Cited by:

    1. Vadim Kaushanskiy & Victor Lapshin, 2016. "A nonparametric method for term structure fitting with automatic smoothing," Applied Economics, Taylor & Francis Journals, vol. 48(58), pages 5654-5666, December.
    2. Smimou, Kamal, 2006. "Estimation of Canadian commodity market risk premiums under price limits: Two-phase fuzzy approach," Omega, Elsevier, vol. 34(5), pages 477-491, October.

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