Estimating Interest Rate Curves by Support Vector Regression
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DOI: 10.1080/07474938.2010.481998
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- Daniel F. Waggoner, 1997. "Spline methods for extracting interest rate curves from coupon bond prices," FRB Atlanta Working Paper 97-10, Federal Reserve Bank of Atlanta.
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Keywords
Bid-ask spread; Interest rate curves; Interest rate swaps; Support Vector Regression;All these keywords.
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