Abstract:A model that seeks to estimate an interest rate curve should have two desirable capabilities in addition to the usual characteristics required from any function-estimation model: it should incorporate the bid-ask spreads of the securities from which the curve is extracted and restrict the curve shape. The goal of this article is to estimate interest rate curves by using Support Vector Regression (SVR), a method derived from the Statistical Learning Theory developed by Vapnik (1995). The motivation is that SVR … Show more
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.