• 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
  • Pages
    10
  • From page
    193
  • To page
    202
  • 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
  • Serial Year
    2000
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1544359

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1544359