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• W2017005911 abstract "The term structure of interest rates is a key instrument for financial research. It provides relevant information for pricing deterministic financial cash flows, it measures economic market expectations and it is extremely useful when assessing the effectiveness of monetary policy decisions. However, it is not directly observable and needs to be estimated by smoothing asset pricing data through statistical techniques. The most popular techniques adjust parsimonious functional forms based on bond yields to maturity. Unfortunately, these functions, which need to be optimised, are highly non-linear which make them very sensitive to the initial conditions. In this context, this paper proposes the use of genetic algorithms to find the values for the initial conditions and to reduce the risk of false convergence, showing that stable parameters are obtained without imposing arbitrary restrictions." @default.
• W2017005911 created "2016-06-24" @default.
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• W2017005911 date "2009-04-01" @default.
• W2017005911 modified "2023-10-04" @default.
• W2017005911 title "A genetic algorithm estimation of the term structure of interest rates" @default.
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• W2017005911 doi "https://doi.org/10.1016/j.csda.2008.10.030" @default.
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