Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates

DOI10.1016/j.ejor.2012.01.004zbMath1244.91097OpenAlexW3125211067MaRDI QIDQ439703

Geneviève Gauthier, Jean-Guy Simonato

Publication date: 16 August 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.01.004

zbMATH Keywords

linearizationterm structure of interest ratesprior informationcoupon bondsspot rate curves

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

A noisy principal component analysis for forward rate curves ⋮ Measurement of interest rates using a convex optimization model ⋮ Pricing and risk management of interest rate swaps

Cites Work

• Unnamed Item
• Forecasting the term structure of government bond yields
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Estimating the Total Probability of the Unobserved Outcomes of an Experiment

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