Frontiers in financial dynamics
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DOI: 10.1016/j.ribaf.2012.08.006
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References listed on IDEAS
- Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
- John H. Wood, 1983. "Do yield curves normally slope up? The term structure of interest rates, 1862–1982," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 7(Jul), pages 17-23.
- Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
- Jiguo Cao & James Ramsay, 2007. "Parameter cascades and profiling in functional data analysis," Computational Statistics, Springer, vol. 22(3), pages 335-351, September.
- J. O. Ramsay & G. Hooker & D. Campbell & J. Cao, 2007. "Parameter estimation for differential equations: a generalized smoothing approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(5), pages 741-796, November.
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Cited by:
- Mudakkar, Syeda Rabab & Uppal, Jamshed Y., 2018. "Stability of cross-market bivariate return distributions during financial turbulence," Research in International Business and Finance, Elsevier, vol. 45(C), pages 389-401.
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Keywords
Generalised smoothing; Term structure of interest rates; Functional data analysis;All these keywords.
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