Articles

Rootless Vol

24th December 2018 Editor 0

Even if you started out clueless about the volatility σ , given a good enough measuring stick and fast enough hands you ought to be able to measure it quickly and accurately. In practice you […]

Articles

Forecasting the Yield Curve with S-Plus

10th December 2018 Editor 0

Methods capable of forecasting the entire yield curve based on a time series extension of the Nelson-Siegel model Nelson and Siegel (1987) were suggested in the literature and compared to the non-parametric alternatives Diebold and […]