Empirical identification of affine term structures from yield curve data

ShinIchi Aihara; Arunabha Bagchi

Empirical identification of affine term structures from yield curve data

ShinIchi Aihara, Arunabha Bagchi

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

Original language	Undefined
Title of host publication	Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'08)
Place of Publication	Kyoto
Publisher	The Institute of Systems, Control and Information Engineers (ISCIE)
Pages	354-359
Number of pages	6
ISBN (Print)	978-4-915740-40-4
Publication status	Published - 2009
Event	40th ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'08) - Kyoto Duration: 14 Nov 2008 → 15 Nov 2008

Conference

Conference	40th ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'08)
Period	14/11/08 → 15/11/08
Other	14-15 Nov 2008

Keywords

EWI-22254
MSC-93E10
MSC-91G30

Cite this

@inproceedings{9b08846542d54b3f8d41bc206af0de40,

title = "Empirical identification of affine term structures from yield curve data",

keywords = "EWI-22254, MSC-93E10, MSC-91G30",

author = "ShinIchi Aihara and Arunabha Bagchi",

year = "2009",

language = "Undefined",

isbn = "978-4-915740-40-4",

pages = "354--359",

booktitle = "Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'08)",

publisher = "The Institute of Systems, Control and Information Engineers (ISCIE)",

note = "40th ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'08) ; Conference date: 14-11-2008 Through 15-11-2008",

}

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). The Institute of Systems, Control and Information Engineers (ISCIE), Kyoto, pp. 354-359, 40th ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'08), 14/11/08.

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

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

TY - GEN

T1 - Empirical identification of affine term structures from yield curve data

AU - Aihara, ShinIchi

AU - Bagchi, Arunabha

PY - 2009

Y1 - 2009

KW - EWI-22254

KW - MSC-93E10

KW - MSC-91G30

M3 - Conference contribution

SN - 978-4-915740-40-4

SP - 354

EP - 359

BT - Proceedings of the 40th ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'08)

PB - The Institute of Systems, Control and Information Engineers (ISCIE)

CY - Kyoto

T2 - 40th ISCIE International Symposium on Stochastic Systems Theory and its Applications (SSS'08)

Y2 - 14 November 2008 through 15 November 2008

ER -