Publication
Title
Estimating the long rate and its volatility
Author
Abstract
We estimate the long rate and its volatility within the Svensson framework. The procedure that best extrapolates the longest observable rate and its volatility is a 2-dimensional grid search conditioned on the ridge regression suggested by Annaert et al. (2013).
Language
English
Source (journal)
Economics letters. - Amsterdam
Publication
Amsterdam : 2015
ISSN
0165-1765
Volume/pages
129(2015), p. 100-102
ISI
000352673100025
Full text (Publisher's DOI)
Full text (open access)
Full text (publisher's version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 10.03.2015
Last edited 22.07.2017
To cite this reference