A Nonparametric Method For Term Structure Fitting With Automatic Smoothing
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- Vadim Kaushanskiy & Victor Lapshin, 2016. "A nonparametric method for term structure fitting with automatic smoothing," Applied Economics, Taylor & Francis Journals, vol. 48(58), pages 5654-5666, December.
References listed on IDEAS
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- Victor Lapshin, 2019. "A Nonparametric Approach to Bond Portfolio Immunization," Mathematics, MDPI, vol. 7(11), pages 1-12, November.
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More about this item
Keywordsregularization; smoothing splines; term structure of interest rates.;
All these keywords.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2015-01-19 (Econometrics)
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