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ycevo: Nonparametric Estimation of the Yield Curve Evolution
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.
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Package details |
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| Author | Bonsoo Koo [aut], Nathaniel Tomasetti [ctb], Kai-Yang Goh [ctb], Yangzhuoran Fin Yang [aut, cre] (<https://orcid.org/0000-0002-1232-8017>) |
| Maintainer | Yangzhuoran Fin Yang <yangyangzhuoran@gmail.com> |
| License | GPL-3 |
| Version | 0.2.1 |
| URL | https://github.com/bonsook/ycevo |
| Package repository | View on CRAN |
| Installation |
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