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Stripping the Swiss discount curve using kernel ridge regression (Q6593138)

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scientific article; zbMATH DE number 7901661
Language Label Description Also known as
English
Stripping the Swiss discount curve using kernel ridge regression
scientific article; zbMATH DE number 7901661

    Statements

    title
    Stripping the Swiss discount curve using kernel ridge regression (English)
    0 references
    author
    Nicolas Camenzind
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    Damir Filipović
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    publication date
    26 August 2024
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    zbMATH Keywords
    yield curve estimation
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    Swiss government bond market
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    Smith-Wilson method
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    Swiss Solvency Test
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    Swiss National Bank
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    machine learning in finance
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    reproducing kernel Hilbert space
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    Identifiers

    Mathematics Subject Classification ID
    91G05
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    62P05
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    62J07
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    zbMATH DE Number
    7901661
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