Browsing by Subject "exponential polynomial"

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Modelling the yield curve with Orthonormalised Laguerre Polynomials: A consistent cross-sectional and inter-temporal approach

Krippner, Leo (2003-09)

This article proposes the orthonormalised Laguerre polynomial (OLP) model of the yield curve, a generic linear model that is both cross-sectionally consistent (that is, it reliably fits the yield curve at a given point in ...