Nonparametric confidence intervals of instantaneous forward rates

DOI10.1016/S0167-6687(00)00037-8zbMath0959.62095WikidataQ127808031 ScholiaQ127808031MaRDI QIDQ1584515

Jacques F. Carriere

Publication date: 2 May 2001

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

correlationsplinesterm structure of interest ratesheteroscedasticitybootstrappinginstantaneous forward ratesstrip bonds

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric tolerance and confidence regions (62G15)

Related Items (1)

Constrained smoothing \(B\)-splines for the term structure of interest rates

Cites Work

• Smoothing methods in statistics
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