ycevo-package

Nonparametric estimation of discount functions and yield curves.

package

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.

Yangzhuoran Fin Yang

ycevo

Nonparametric Estimation of the Yield Curve Evolution

Bonsoo Koo

Nathaniel Tomasetti

Kai-Yang Goh

ycevo-package function

Maintainer: Yangzhuoran Fin Yang <a href="/link/yangyangzhuoran%40gmail.com?package=ycevo&version=0.3.0" data-mini-rdoc="ycevo::yangyangzhuoran@gmail.com">yangyangzhuoran@gmail.com</a> (<a href="https://orcid.org/0000-0002-1232-8017">ORCID</a>)
Authors:<ul>
<li>Bonsoo Koo <a href="/link/Bonsoo.Koo%40monash.edu?package=ycevo&version=0.3.0" data-mini-rdoc="ycevo::Bonsoo.Koo@monash.edu">Bonsoo.Koo@monash.edu</a></li>
</ul>Other contributors:<ul>
<li>Nathaniel Tomasetti [contributor]</li>
<li>Kai-Yang Goh [contributor]</li>
</ul>

Author

Nonparametric Estimation of the Yield Curve Evolution — ycevo-package

Maintainer: Yangzhuoran Fin Yang <a href='mailto:yangyangzhuoran@gmail.com'>yangyangzhuoran@gmail.com</a> (<a href='https://orcid.org/0000-0002-1232-8017'>ORCID</a>)
Authors:<ul>
<li>Bonsoo Koo <a href='mailto:Bonsoo.Koo@monash.edu'>Bonsoo.Koo@monash.edu</a></li>
</ul>

Other contributors:<ul>
<li>Nathaniel Tomasetti [contributor]</li>
<li>Kai-Yang Goh [contributor]</li>
</ul>

ycevo-package: Nonparametric Estimation of the Yield Curve Evolution

Description

Arguments

Author

References

See Also