Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach

DOI10.1080/10920277.2022.2102040zbMath1524.91128OpenAlexW4295836118WikidataQ114099183 ScholiaQ114099183MaRDI QIDQ6075091

César Da Rocha Neves, Unnamed Author, Unnamed Author

Publication date: 20 October 2023

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2022.2102040

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

Cites Work

• Forecasting the term structure of government bond yields
• Term structure extrapolation and asymptotic forward rates
• Estimating the long rate and its volatility
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Yield curve estimation by kernel smoothing methods

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