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.
Package details |
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Maintainer | Yangzhuoran Fin Yang <yangyangzhuoran@gmail.com> |
License | GPL-3 |
Version | 0.2.1.9000 |
URL | https://github.com/bonsook/ycevo |
Package repository | View on GitHub |
Installation |
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