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A hybrid spline-based parametric model for the yield curve
Adriano Faria,
Caio Almeida
Research output
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Contribution to journal
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Article
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peer-review
5
Scopus citations
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Dive into the research topics of 'A hybrid spline-based parametric model for the yield curve'. Together they form a unique fingerprint.
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Mathematics
Parametric Model
80%
Spline
69%
Curve
46%
Segmentation
36%
Categorical or nominal
30%
Market Segmentation
28%
Term Structure
21%
Risk Management
20%
Value at Risk
20%
Market Model
20%
Government
20%
B-spline Function
20%
Factor Models
19%
Banks
18%
Exponential Model
18%
Spline Functions
17%
Pricing
16%
Market
15%
Model
15%
Benchmark
14%
Flexibility
14%
Evidence
12%
Estimate
6%
Business & Economics
Splines
100%
Parametric Model
92%
Yield Curve
88%
Segmentation
53%
Value at Risk
33%
Index-Linked Bond
25%
Maturity
25%
B-spline
23%
Pricing Management
21%
Term Structure
16%
Bond Market
15%
Market Model
15%
Empirical Evidence
15%
Central Bank
13%
Benchmark
11%
Risk Management
11%
Government
8%
United States of America
6%
Factors
5%
Engineering & Materials Science
Splines
74%
Financial markets
13%
Banking
12%
Risk management
11%
Costs
4%