Estimation and inference in the yield curve model with an instantaneous error term

DOI10.1016/J.MATCOM.2008.11.006zbMath1168.91490OpenAlexW2088916358MaRDI QIDQ834330

Masato Ubukata, Mototsugu Fukushige

Publication date: 19 August 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.11.006

zbMATH Keywords

term structureyield curveexponential components frameworkinstantaneous error termproperties of the error term

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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