Zero-Coupon Yield Curve Estimation with the Package termstrc
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DOI: http://hdl.handle.net/10.18637/jss.v036.i01
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References listed on IDEAS
- Tomas Björk & Bent Jesper Christensen, 1999.
"Interest Rate Dynamics and Consistent Forward Rate Curves,"
Mathematical Finance, Wiley Blackwell, vol. 9(4), pages 323-348, October.
- Björk, Tomas & Christensen, Bent Jesper, 1997. "Interest Rate Dynamics and Consistent Forward Rate Curves," SSE/EFI Working Paper Series in Economics and Finance 209, Stockholm School of Economics.
Citations
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Cited by:
- João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 65-82, June.
- Emiliano Delfau, 2017. "Métodos de Estimación de Curvas de Rendimiento Cupón Cero en Argentina," CEMA Working Papers: Serie Documentos de Trabajo. 623, Universidad del CEMA.
- Ranik Raaen Wahlstrøm & Florentina Paraschiv & Michael Schürle, 2022. "A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 967-1004, March.
- repec:jss:jstsof:36:i01 is not listed on IDEAS
- Francisco Rivadeneyra, 2012. "The U.S.-Dollar Supranational Zero-Coupon Curve," Discussion Papers 12-5, Bank of Canada.
- Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker, 2013. "Credit risk in covered bonds," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 102-120.
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