A Constrained Least Square Method For Estimating A Smooth, Nonnegative Forward Rate Sequence
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DOI: 10.1142/S0219024905003293
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Cited by:
- Lazar Fred & Prisman Eliezer Z., 2012. "Constructing Historical Yield Curves from Very Sparse Spot Rates: A Methodology and Examples from the 1920s Canadian Market," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 7(1), pages 1-24, May.
- Koji Kato & Hiroshi Konno, 2007. "Studies on a general stock-bond integrated portfolio optimization model," Computational Management Science, Springer, vol. 4(1), pages 41-57, January.
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Keywords
Forward rate; term structure; Carleton–Cooper's method; least square method; convex minimization problem;All these keywords.
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