FinYang/ycevo: Non-Parametric Estimation of the Yield Curve Evolution

Provides a range of functions to facilitate the non-parametric estimation of the discount rate, and yield curve, of the Center for Research in Security Prices (CRSP) Bond Data. The methods of this package are described in Koo, B., La Vecchia, D., & Linton, O. B. (2019)<doi:10.2139/ssrn.3341344>.

Getting started

Package details

MaintainerYangzhuoran Yang <[email protected]>
LicenseGPL-3
Version1.0.0
URL https://github.com/bonsook/ycevo
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("FinYang/ycevo")
FinYang/ycevo documentation built on Dec. 3, 2019, 4:20 p.m.