Models of the yield curve and the curvature of the implied forward rate function
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fengler, Matthias R. & Hin, Lin-Yee, 2015.
"A simple and general approach to fitting the discount curve under no-arbitrage constraints,"
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- Ivailo Arsov & Matthew Brooks & Mitch Kosev, 2013. "New Measures of Australian Corporate Credit Spreads," RBA Bulletin, Reserve Bank of Australia, pages 15-26, December.
- repec:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2282-5 is not listed on IDEAS
More about this item
KeywordsBonds; Yield curve; Forward rate; Discount rate; Curve fitting;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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