Zhao, Chaoyi; Jia, Zijian; Wu, Lan Construct Smith-Wilson risk-free interest rate curves with endogenous and positive ultimate forward rates. (English) Zbl 1532.91111 Insur. Math. Econ. 114, 156-175 (2024). MSC: 91G05 91G30 × Cite Format Result Cite Review PDF Full Text: DOI
Blaskowitz, Oliver; Herwartz, Helmut PCA-baesd ex-ante forecasting of swap term structures. (English) Zbl 1178.91219 Int. J. Theor. Appl. Finance 12, No. 4, 465-489 (2009). MSC: 91G70 62P05 62H25 × Cite Format Result Cite Review PDF Full Text: DOI