Title of article :
Non-parametric confidence intervals of instantaneous forward rates
Author/Authors :
Carriere، نويسنده , , Jacques F.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Abstract :
Using the price of US Treasury Strips, we show how to estimate forward rates with spline models. Confidence intervals on these rates are constructed with bootstrap methods. An unusual feature of the data is the heteroscedastic and correlated error structure.
Keywords :
Term structure of interest rates , Instantaneous forward rates , Strip bonds , Bootstrapping , Correlation , Heteroscedasticity , splines
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics