Higher order forward rate agreements and the smoothness of the term structure
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References listed on IDEAS
- de Jong, Robert M., 1996. "The Bierens test under data dependence," Journal of Econometrics, Elsevier, pages 1-32.
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More about this item
Keywordslinear programming; arbitrage; term structure of interest rates; smoothing splines; forward rates; dominance;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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