Estimating Yield Curves In Turkey: Factor Analysis Approach

Estimating inflation compensation for Turkey using yield curves☆

Article history: Accepted 25 February 2013 JEL classification: G12 G14 E43

On estimating the yield and volatility curves

Yield curve and yield volatilities are important inputs for pricing interest rate deriva­ tives, for generation of interest rate scenarios, etc. Nonanticipated errors in their estimates may essentially influence the resulting prices, yields and risks. In this paper we explore and compare several types of parametric and nonparametric regression models suitable for estimation of the two curves. I...

Estimating yield curves from asynchronous LIBOR and swap quotes1

A class of smoothing algorithms is proposed to estimate the unobserved end-of-day six-month and one-year LIBOR rates. Empirical analysis suggests that estimates using these methods contain as little as one third of the error of more naively constructed values. These methods also allow the relationships between short-term and long-term yields to be characterized with much greater accuracy, which...

A Bayesian Nonparametic Approach for Estimating Individualized Treatment-Response Curves

We study the problem of estimating the continuous response over time of interventions from observational time series—a retrospective dataset where the policy by which the data are generated are unknown to the learner. We are motivated by applications where response varies by individuals and therefore, estimating responses at the individual-level are valuable for personalizing decisionmaking. We...

Evaluation of seed yield-related characters in spring safflower (carthamus tinctorius L.)using factor analysis