Robust term structure estimation in developed and emerging markets

DOI10.1007/s10479-016-2282-5zbMath1404.91260OpenAlexW2519573012MaRDI QIDQ1703534

Emrah Sener, Emrah Ahi, Vedat Akgiray

Publication date: 2 March 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2282-5

zbMATH Keywords

term structurerobust estimationparticle swarm optimizationNelson-Siegel-Svensson

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Approximation methods and heuristics in mathematical programming (90C59) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Governed by the cycle: interest rate sensitivity of emerging market corporate debt

Uses Software

• fminsearch

Cites Work

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