Convex Structure of the Constrained Least Square Problem for Estimating the Forward Rate Sequence
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References listed on IDEAS
- Vasicek, Oldrich A & Fong, H Gifford, 1982. " Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-348, May.
- McCulloch, J Huston, 1971.
"Measuring the Term Structure of Interest Rates,"
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University of Chicago Press, vol. 44(1), pages 19-31, January.
- Tom Doan, "undated". "RATS program to estimate term structure with cubic splines," Statistical Software Components RTZ00019, Boston College Department of Economics.
- Delbaen, F. & Lorimier, Sabine, 1992. "Estimation of the yield curve and the forward rate curve starting from a finite number of observations," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 259-269, December.
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Keywordsconvex minimization problems; forward rate sequence; least square approach; term structure of interest rates.;
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