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Comparison of non-linear optimization algorithms for yield curve estimation. (2009). Michalopoulos, Michalis ; Manousopoulos, Polychronis.
In: European Journal of Operational Research.
RePEc:eee:ejores:v:192:y:2009:i:2:p:594-602.

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Cited: 8

Citations received by this document

Cites: 25

References cited by this document

Cocites: 35

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions. (2022). Schurle, Michael ; Paraschiv, Florentina ; Wahlstrom, Ranik Raaen.
    In: Computational Economics.
    RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10113-w.

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  2. Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment. (2019). Husodo, Zaafri Ananto ; Wibowo, Buddi ; Utama, Cynthia Afriani ; Sasongko, Aryo.
    In: Computational Economics.
    RePEc:kap:compec:v:54:y:2019:i:3:d:10.1007_s10614-018-9848-z.

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  3. Breakeven Inflation Rate Estimation: an alternative approach considering indexation lag and seasonality. (2019). Araujo, Gustavo ; de Freitas, Flavio.
    In: Working Papers Series.
    RePEc:bcb:wpaper:493.

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  4. Measurement of interest rates using a convex optimization model. (2017). Blomvall, Jorgen .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:256:y:2017:i:1:p:308-316.

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  5. Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve. (2016). Eva, Loreni .
    In: Naše gospodarstvo/Our economy.
    RePEc:vrs:ngooec:v:62:y:2016:i:2:p:42-50:n:5.

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  6. A differential evolution algorithm for yield curve estimation. (2016). Ballini, Rosangela ; GOMIDE, FERNANDO ; MacIel, Leandro.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:129:y:2016:i:c:p:10-30.

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  7. Term structure of interest rates estimation using rational Chebyshev functions. (2015). Manousopoulos, Polychronis ; Michalopoulos, Michalis.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:38:y:2015:i:2:p:119-146.

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References

References cited by this document

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  2. Bliss, R.R., 1997. Testing term structure estimation methods. Working Paper WP 96-12, Federal Reserve Bank of Atlanta.
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  7. Choudhry, M. Analysing and Interpreting the Yield Curve. 2004 John Wiley and Sons: Singapore
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  25. Svensson, L.E.O., 1994. Estimating and interpreting forward interest rates: Sweden 1992–1994. Working Paper WP 4871, National Bureau of Economic Research.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Yield curves from different bond data sets. (2020). Jareño, Francisco ; Navarro, Eliseo ; Jareo, Francisco ; Diaz, Antonio.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:23:y:2020:i:2:d:10.1007_s11147-019-09162-z.

    Full description at Econpapers || Download paper

  2. Interest Rate Term Structure Decomposition at the Instrument Level. (2019). Barnard, Brian.
    In: Applied Economics and Finance.
    RePEc:rfa:aefjnl:v:6:y:2019:i:3:p:7-27.

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  3. Interest Rate Term Structure Decomposition: An Axiomatic. (2019). Barnard, Brian.
    In: Applied Economics and Finance.
    RePEc:rfa:aefjnl:v:6:y:2019:i:1:p:84-96.

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  4. .

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  5. Zero-coupon interest rates: Evaluating three alternative datasets. (2018). Jareño, Francisco ; Navarro, Eliseo ; Jareo, Francisco ; Diaz, Antonio.
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:201867.

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  6. Yield curve modelling and a conceptual framework for estimating yield curves: evidence from the European Central Bank’s yield curves. (2018). Nymand-Andersen, Per.
    In: Statistics Paper Series.
    RePEc:ecb:ecbsps:201827.

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  7. Measuring Limits of Arbitrage in Fixed-Income Markets. (2017). Fontaine, Jean-Sebastien ; Nolin, Guillaume.
    In: Staff Working Papers.
    RePEc:bca:bocawp:17-44.

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  8. Term structure of interest rates estimation using rational Chebyshev functions. (2015). Manousopoulos, Polychronis ; Michalopoulos, Michalis.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:38:y:2015:i:2:p:119-146.

    Full description at Econpapers || Download paper

  9. Liquidity and credit premia in the yields of highly-rated sovereign bonds. (2015). Ejsing, Jacob ; Grothe, Oliver .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:160-173.

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  10. Real Term Structure and Inflation Compensation in the Euro Area. (2014). Pericoli, Marcello.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2014:q:1:a:1.

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  11. The Canadian macroeconomy and the yield curve: A dynamic latent factor approach. (2013). Lange, Ronald H..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:27:y:2013:i:c:p:261-274.

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  12. Forecasting Latin-American yield curves: An artificial neural network approach. (2013). vela, Daniel .
    In: BORRADORES DE ECONOMIA.
    RePEc:col:000094:010502.

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  13. Forecasting Latin-American yield curves: An artificial neural network approach. (2013). vela, Daniel .
    In: Borradores de Economia.
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  14. Extracting Information from Financial Market Instruments. (2012). Finlay, Richard ; Olivan, David .
    In: RBA Bulletin.
    RePEc:rba:rbabul:mar2012-06.

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  15. Term Structure Modelling by Using Nelson-Siegel Model. (2012). Hladikova, Hana .
    In: European Financial and Accounting Journal.
    RePEc:prg:jnlefa:v:2012:y:2012:i:2:id:9:p:36-55.

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  16. Models of the yield curve and the curvature of the implied forward rate function. (2012). Yallup, Peter J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:1:p:121-135.

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  17. Liquidity and credit risk premia in government bond yields. (2012). Ejsing, Jacob ; Grothe, Oliver .
    In: Working Paper Series.
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  18. The changing relation between the Canadian and U.S. yield curves. (2011). Startz, Richard ; Wong, Edwin ; Price, Stephanie ; Lucia, Kathlyn .
    In: Journal of International Money and Finance.
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  19. Modeling the yield curve of spot interest rates under the conditions in Bulgaria. (2009). Ganchev, Alexander.
    In: MPRA Paper.
    RePEc:pra:mprapa:70048.

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  20. Comparison of non-linear optimization algorithms for yield curve estimation. (2009). Michalopoulos, Michalis ; Manousopoulos, Polychronis.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:192:y:2009:i:2:p:594-602.

    Full description at Econpapers || Download paper

  21. A Term Structure Decomposition of the Australian Yield Curve. (2009). Finlay, Richard ; Chambers, Mark .
    In: The Economic Record.
    RePEc:bla:ecorec:v:85:y:2009:i:271:p:383-400.

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  22. A Term Structure Decomposition of the Australian Yield Curve. (2008). Finlay, Richard ; Chambers, Mark .
    In: RBA Research Discussion Papers.
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  23. Curve forecasting by functional autoregression. (2008). Onatski, Alexei ; Kargin, Vladislav.
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  24. Combining Canadian Interest-Rate Forecasts. (2008). Romanyuk, Yuliya ; Bolder, David.
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  25. The Canadian macroeconomy and the yield curve: an equilibrium‐based approach. (2007). Luger, Richard ; Garcia, René.
    In: Canadian Journal of Economics/Revue canadienne d'économique.
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  26. Lessons from Nominal Convergence in Slovenia. (2007). Grum, Andraž.
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  27. An Orthogonal Polynomial Approach to Estimate the Term Structure of Interest Rates. (2007). Buttler, Hans-Jurg .
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  28. Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioners Perspective. (2007). Bolder, David ; Liu, Shudan .
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  29. The effect of parallel OTC-DVP bond market introduction on yield curve volatility. (2006). Grum, Andraž.
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  30. Modelling Term-Structure Dynamics for Risk Management: A Practitioners Perspective. (2006). Bolder, David.
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  31. The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach. (2005). Luger, Richard ; Garcia, René.
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  33. An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates. (2004). Bolder, David ; Metzler, Adam ; Johnson, Grahame .
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