Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models

Article English OPEN
Tunaru, Diana;
(2017)

In this paper we will estimate the term structure of daily U.K. interest rates using a range of more flexible continuous-time models. A multivariate framework is employed for the dynamic estimation and forecasting of four classic models over the eventful period of 2000–... View more
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