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Paper / 2019SMQ / 236487759696394
Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information
Koo, B. / La Vecchia, D. / Linton, O.
fixed income / interest ratesResource overview

Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information

Paper2019

by Koo, B., La Vecchia, D., Linton, O.

Tags
fixed incomeinterest ratespanel datastatistics

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Suggested foundations for rates and fixed income and financial time series. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  4. Linear Regression

    Read the fitted relationship and its residuals.

Go further

  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

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Explore Fixed Income and Interest-Rate Models Explore Econometrics and Financial Time Series

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