Ferstl, Robert and Hayden, Josef (2010) Zero-Coupon Yield Curve Estimation with the Package terms. JOURNAL OF STATISTICAL SOFTWARE, 36 (1). pp. 1-34. ISSN 1548-7660,
Full text not available from this repository. (Request a copy)Abstract
Since zero-coupon rates are rarely directly observable, they have to be estimated from market data. In this paper we review several widely-used parametric term structure estimation methods. We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Moreover, we introduce the R package termstrc, which offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. It provides extensive summary statistics and plots to compare the results of the different estimation methods. We illustrate the application of the package through practical examples using market data from European government bonds and yields.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | INTEREST-RATES; CONSISTENT; fixed income; term structure estimation; global optimization; R |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 20 Jul 2020 13:39 |
| Last Modified: | 20 Jul 2020 13:39 |
| URI: | https://pred.uni-regensburg.de/id/eprint/24404 |
Actions (login required)
 |
View Item |
