On estimating the yield and volatility curves
Jitka Dupačová; Jozsef Abaffy; Marida Bertocchi; Marie Hušková
Kybernetika (1997)
- Volume: 33, Issue: 6, page 659-673
- ISSN: 0023-5954
Access Full Article
topHow to cite
topDupačová, Jitka, et al. "On estimating the yield and volatility curves." Kybernetika 33.6 (1997): 659-673. <http://eudml.org/doc/27275>.
@article{Dupačová1997,
author = {Dupačová, Jitka, Abaffy, Jozsef, Bertocchi, Marida, Hušková, Marie},
journal = {Kybernetika},
keywords = {parametric and nonparametric regression models; nonparametric estimators; cubic splines},
language = {eng},
number = {6},
pages = {659-673},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On estimating the yield and volatility curves},
url = {http://eudml.org/doc/27275},
volume = {33},
year = {1997},
}
TY - JOUR
AU - Dupačová, Jitka
AU - Abaffy, Jozsef
AU - Bertocchi, Marida
AU - Hušková, Marie
TI - On estimating the yield and volatility curves
JO - Kybernetika
PY - 1997
PB - Institute of Information Theory and Automation AS CR
VL - 33
IS - 6
SP - 659
EP - 673
LA - eng
KW - parametric and nonparametric regression models; nonparametric estimators; cubic splines
UR - http://eudml.org/doc/27275
ER -
References
top- A. Azzalini, A. Bowman, On the use of nonparametric regression for checking linear relationships, J. Roy. Statist. Soc. Ser. B 55 (1993), 549-557. (1993) Zbl0800.62222MR1224417
- E. Barone D. Cuoco, E. Zautzik, Term structure estimation using the Cox, Ingersoll, and Ross model: The case of Italian treasury bonds, J. Fixed Income 1 (1991), 87-95. (1991)
- M. Bertocchi J. Dupačová, V. Moriggia, Sensitivity analysis on inputs for a bond portfolio management model, In: Aktuarielle Ansätze für Finanz-Risiken AFIR 1996, Proc. of the VIth AFIR Colloquium, Nuremberg (P. Albrecht, ed.), VVW Karlsruhe 1996, pp. 783-793. (1996)
- F. Black E. Derman, W. Toy, A one-factor model of interest rates and its application to treasury bond options, Financial Analysts J. (1990), 33-39. (1990)
- J. Boularan L. Ferré, P. Vieu, Growth curves: a two-stage nonparametric approach, J. Statist. Plann. Inference 38 (1994), 327-350. (1994) MR1261807
- A. Bowman, S. Young, Graphical comparison of nonparametric curves, Appl. Statist. 45 (1996), 83-98. (1996) Zbl0858.62003
- S. P. Bradley, D. B. Crane, A dynamic model for bond portfolio management, Management Sci. 19 (1972), 139-151. (1972)
- P. Dierckx, An algorithm for smoothing, differentiation and integration of experimental data using spline functions, J. Comput. Appl. Math. 1 (1975), 165-184. (1975) Zbl0311.65009MR0383697
- J. Dupačová, M. Bertocchi, Management of bond portfolios via stochastic programming -- postoptimality and sensitivity analysis, In: System Modelling and Optimization, Proc. of the 17th IFIP TC7 Conference, Prague 1995 (J. Doležal and J. Fidler, eds.), Chapman & Hall, London 1996, pp. 574-582. (1995) MR1471301
- J. Dupačová M. Bertocchi, J. Abaffy, Input Analysis for a Bond Portfolio Management Model, Technical Report 24, University of Bergamo 1996. (1996)
- J. Dupačová M. Bertocchi, J. Abaffy, Term structure and volatility curves -- A comparison of different approaches, Paper presented at the 20th EWGFM Meeting, Dubrovnik 1997. Technical Report No. 15, University of Bergamo 1997. (1997)
- J. Dupačová M. Bertocchi, V. Moriggia, Postoptimality for scenario based financial planning models with an application to bond portfolio management, In: World Wide Asset and Liability Management (W. Ziemba and J. Mulvey, eds.), Cambridge Univ. Press, Cambridge 1997 (to appear). (1997)
- R. L. Eubank, J. D. Hart, Testing goodness-of-fit in regression via order selection criteria, Ann. Statist. 20 (1992), 1412-1425. (1992) Zbl0776.62045MR1186256
- A. R. Gallant, Nonlinear Statistical Models, Wiley, New York 1987. (1987) Zbl0611.62071MR0921029
- Guida al mercato obbligazionario Italiano, SIGECO Report 1994. (1994)
- P. Hall J. W. Kay, D. M. Titterington, Asymptotically optimal difference based estimation of variance in nonparametric regression, Biometrika 77 (1990), 521-528. (1990) MR1087842
- W. Härdle, Smoothing Techniques with Implementation in S, Springer, Berlin 1996. (1996) MR1140190
- W. Härdle, E. Mammen, Comparing nonparametric versus parametric regression fits, Ann. Statist. 21 (1993), 1926-1947. (1993) MR1245774
- D. Heath, al, Easier done than said, Risk 5 (1992), 9. (1992)
- J. Hull, A. White, New ways with the yield curve, Risk 3 (1990), 13-15. (1990)
- J. Hull, W. White, In the common interest, Risk 5 (1992), 3. (1992)
- R. A. Jarrow, Modelling Fixed Income Securities and Interest Rate Options, McGraw-Hill, New York 1996. (1996) Zbl1079.91532
- R. N. Kahn, Fixed income risk modelling, In: The Handbook of Fixed Income Securities, Third edition (F. Fabozzi, ed.), Irwin 1991, pp. 1307-1319. (1991)
- M. Koenigsberg J. Showers, J. Streit, The term structure of volatility and bond option valuation, J. Fixed Income 1 (1991), 19-35. (1991)
- R. C. Kuberek, Predicting interest rate volatility: A conditional heteroscedastic model of interest rate movements, J. Fixed Income 1 (1992), 21-27. (1992)
- R. Litterman J. Scheinkman, L. Weiss, Volatility and the yield curve, J. Fixed Income 1 (1991), 49-53. (1991)
- R. Rebonato, Interest-rate Option Model, Wiley, New York 1996. (1996)
- Risk Metrics -- Technical Document, J. P. Morgan, New York 1995. (1995)
- D. Ruppert M. Wand U. Holst, O. Hössjer, Local polynomial variance function estimation, Technometrics (submitted). MR1462587
- G. A. F. Seber, C. J. Wild, Nonlinear Regression, Wiley, New York 1988. (1988) MR0986070
- R. J. Serfling R. J., Approximation Theorems in Mathematical Statistics, Wiley, New York 1980. (1980) MR0595165
- J. S. Simonoff, Smoothing Methods in Statistics, Springer, Berlin 1996. (1996) Zbl0859.62035MR1391963
- O. A. Vašíček, H. G. Fong, Term structure modeling using exponential splines, J. Finance XXXVII (1982), 339-348. (1982)
NotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.