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Zero Coupon Yield Curve Estimation with the Package termstrc

Ferstl, Robert and Hayden, Josef (2010) Zero Coupon Yield Curve Estimation with the Package termstrc. Journal of Statistical Software 36 (1), pp. 1-34.

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Since zero-coupon rates are rarely directly observable, they have to be estimated from market data. In this paper we review several widely-used parametric term structure estimation methods. We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Moreover, we introduce the R package termstrc, which offers a wide ...


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Item Type:Article
Date:August 2010
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Related URLs:
Keywords:fixed income; term structure estimation; global optimization; R
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Deposited On:16 Apr 2010 09:31
Last Modified:05 Aug 2010 21:06
Item ID:14402
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