Estimating the spot rate curve using the Nelson–Siegel model
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- Liu, Lily Y., 2017. "Estimating Loss Given Default from CDS under Weak Identification," Risk and Policy Analysis Unit Working Paper RPA 17-1, Federal Reserve Bank of Boston.
- Laurini, Márcio P. & Caldeira, João F., 2016. "A macro-finance term structure model with multivariate stochastic volatility," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 68-90.
- Bouwman, Kees & Buis, Boyd & Pieterse-Bloem, Mary & Tham, Wing Wah, 2015. "A practical approach to constructing price-based funding liquidity factors," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 90-97.
More about this item
KeywordsSmoothed bootstrap; Ridge regression; Nelson–Siegel; Spot rates;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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