Non-parametric confidence intervals of instantaneous forward rates

Insurance: Mathematics and Economics

Volumn 26, Issue 2-3, 2000, Pages 193-202

  Carriere, Jacques F ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

Author keywords

Bootstrapping; Correlation; Heteroscedasticity; Instantaneous forward rates; Splines; Strip bonds; Term structure of interest rates

Indexed keywords

EID: 0034621110     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(00)00037-8     Document Type: Article

References (8)

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