A nonparametric model for analysis of the EURO bond market

DOI10.1016/S0165-1889(02)00057-XzbMath1178.91215MaRDI QIDQ951348

Marida Bertocchi, Marie Hušková, Jitka Dupačová, Rosella Giacometti, Jozsef Abaffy, Vittorio Moriggia

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

nonparametric regressiontwo-stage modelEURO bond markettest of country effects

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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