Matches in SemOpenAlex for { <https://semopenalex.org/work/W1570997601> ?p ?o ?g. }
Showing items 1 to 78 of
78
with 100 items per page.
- W1570997601 abstract "Polynomial functions of the term to maturity have long been used to provide a general functional form for zero-coupon yield curves. The polynomial form has many advantages over alternative functional forms such as Laguerre, when using non-linear least squares to estimate zero-coupon yield curves with coupon bond data. Most importantly the polynomial form invariably enables convergence of the etimation process. Unfortunately, the simple polynomial form results in estimated models of zero-coupon yield curves that approach either plus or minus infinity as the term increases. This unsatisfactory aspect of the simple polynomial is inconsistent with both theoretical considerations and observational reality. We propose a new zero-coupon yield curve functional form consisting not of simple polynomials of term, tau, but rather constructed from polynomials of 1/(1+tau). This form has the desirable property that long-term yields approach a constant value. Further, we model zero-coupon yields as a linear function of the first k principal components of p polynomials of (1/(1+tau), kThe principal components of poynomials of 1/(1+tau) model is applied to Australian coupon bond data. The results compare favourably to those obtained using the traditional polynomial term model." @default.
- W1570997601 created "2016-06-24" @default.
- W1570997601 creator A5001922541 @default.
- W1570997601 creator A5062041455 @default.
- W1570997601 date "1998-11-01" @default.
- W1570997601 modified "2023-09-27" @default.
- W1570997601 title "Zero-Coupon Yield Curve Estimation: A Principal Component, Polynomial Approach" @default.
- W1570997601 cites W1516410937 @default.
- W1570997601 cites W1607625371 @default.
- W1570997601 cites W1832168765 @default.
- W1570997601 cites W2038453980 @default.
- W1570997601 cites W2076057077 @default.
- W1570997601 cites W2077252204 @default.
- W1570997601 cites W2145722403 @default.
- W1570997601 hasPublicationYear "1998" @default.
- W1570997601 type Work @default.
- W1570997601 sameAs 1570997601 @default.
- W1570997601 citedByCount "1" @default.
- W1570997601 crossrefType "posted-content" @default.
- W1570997601 hasAuthorship W1570997601A5001922541 @default.
- W1570997601 hasAuthorship W1570997601A5062041455 @default.
- W1570997601 hasConcept C10138342 @default.
- W1570997601 hasConcept C114614502 @default.
- W1570997601 hasConcept C121332964 @default.
- W1570997601 hasConcept C134306372 @default.
- W1570997601 hasConcept C138885662 @default.
- W1570997601 hasConcept C162324750 @default.
- W1570997601 hasConcept C176230804 @default.
- W1570997601 hasConcept C2779307704 @default.
- W1570997601 hasConcept C2780813799 @default.
- W1570997601 hasConcept C28826006 @default.
- W1570997601 hasConcept C33923547 @default.
- W1570997601 hasConcept C41895202 @default.
- W1570997601 hasConcept C61797465 @default.
- W1570997601 hasConcept C62520636 @default.
- W1570997601 hasConcept C90119067 @default.
- W1570997601 hasConceptScore W1570997601C10138342 @default.
- W1570997601 hasConceptScore W1570997601C114614502 @default.
- W1570997601 hasConceptScore W1570997601C121332964 @default.
- W1570997601 hasConceptScore W1570997601C134306372 @default.
- W1570997601 hasConceptScore W1570997601C138885662 @default.
- W1570997601 hasConceptScore W1570997601C162324750 @default.
- W1570997601 hasConceptScore W1570997601C176230804 @default.
- W1570997601 hasConceptScore W1570997601C2779307704 @default.
- W1570997601 hasConceptScore W1570997601C2780813799 @default.
- W1570997601 hasConceptScore W1570997601C28826006 @default.
- W1570997601 hasConceptScore W1570997601C33923547 @default.
- W1570997601 hasConceptScore W1570997601C41895202 @default.
- W1570997601 hasConceptScore W1570997601C61797465 @default.
- W1570997601 hasConceptScore W1570997601C62520636 @default.
- W1570997601 hasConceptScore W1570997601C90119067 @default.
- W1570997601 hasLocation W15709976011 @default.
- W1570997601 hasOpenAccess W1570997601 @default.
- W1570997601 hasPrimaryLocation W15709976011 @default.
- W1570997601 hasRelatedWork W150375066 @default.
- W1570997601 hasRelatedWork W1572760612 @default.
- W1570997601 hasRelatedWork W1713579067 @default.
- W1570997601 hasRelatedWork W1807854056 @default.
- W1570997601 hasRelatedWork W1971772829 @default.
- W1570997601 hasRelatedWork W2018623158 @default.
- W1570997601 hasRelatedWork W2025521014 @default.
- W1570997601 hasRelatedWork W2051279135 @default.
- W1570997601 hasRelatedWork W2052757513 @default.
- W1570997601 hasRelatedWork W2068445617 @default.
- W1570997601 hasRelatedWork W2079485317 @default.
- W1570997601 hasRelatedWork W2080067384 @default.
- W1570997601 hasRelatedWork W2116879114 @default.
- W1570997601 hasRelatedWork W2120522247 @default.
- W1570997601 hasRelatedWork W2128283524 @default.
- W1570997601 hasRelatedWork W2136422890 @default.
- W1570997601 hasRelatedWork W2158075041 @default.
- W1570997601 hasRelatedWork W2278184333 @default.
- W1570997601 hasRelatedWork W2587997874 @default.
- W1570997601 hasRelatedWork W2609446651 @default.
- W1570997601 isParatext "false" @default.
- W1570997601 isRetracted "false" @default.
- W1570997601 magId "1570997601" @default.
- W1570997601 workType "article" @default.