ycevo
Nonparametric Estimation of the Yield Curve Evolution
Nonparametric estimation of discount functions and yield curves from transaction data of coupon paying bonds. Koo, B., La Vecchia, D., & Linton, O. B. (2021) doi:10.1016/j.jeconom.2020.04.014 describe an application of this package using the Center for Research in Security Prices (CRSP) Bond Data and document its implementation.
- Version0.2.1
- R versionunknown
- LicenseGPL-3
- Needs compilation?Yes
- Languageen-AU
- Last release06/05/2024
Documentation
Team
Yangzhuoran Fin Yang
Bonsoo Koo
Show author detailsRolesAuthorNathaniel Tomasetti
Show author detailsRolesContributorKai-Yang Goh
Show author detailsRolesContributor
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- Imports12 packages
- Suggests4 packages
- Linking To2 packages