Term structure of interest rates estimation using rational Chebyshev functions

DOI10.1007/s10203-014-0161-6zbMath1398.91628OpenAlexW2007642575MaRDI QIDQ894201

Polychronis Manousopoulos, Michalis Michalopoulos

Publication date: 27 November 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-014-0161-6

zbMATH Keywords

term structure of interest ratesyield curverational Chebyshev functions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Best approximation, Chebyshev systems (41A50) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Forecasting the term structure of government bond yields
• Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
• Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
• Comparison of non-linear optimization algorithms for yield curve estimation
• Projection methods for solving aggregate growth models
• Using Chebyshev polynomials to approximate partial differential equations
• Nelson–Siegel, Affine and Quadratic Yield Curve Specifications: Which One is Better at Forecasting?
• Level–Slope–Curvature – Fact or Artefact?
• Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
• A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Term structure of interest rates estimation using rational Chebyshev functions