Empirical identification of affine term structures from yield curve data

ShinIchi Aihara, Arunabha Bagchi

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

    Original languageUndefined
    Title of host publicationProceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'08)
    Place of PublicationKyoto
    PublisherThe Institute of Systems, Control and Information Engineers (ISCIE)
    Pages354-359
    Number of pages6
    ISBN (Print)978-4-915740-40-4
    Publication statusPublished - 2009

    Keywords

    • EWI-22254
    • MSC-93E10
    • MSC-91G30

    Cite this

    Aihara, S., & Bagchi, A. (2009). Empirical identification of affine term structures from yield curve data. In Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'08) (pp. 354-359). Kyoto: The Institute of Systems, Control and Information Engineers (ISCIE).