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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.3.0 |
rolling linux/jammy R-4.5 | ycevo_0.3.0.tar.gz |
279.0 KiB |
0.3.0 |
rolling linux/noble R-4.5 | ycevo_0.3.0.tar.gz |
281.7 KiB |
0.3.0 |
rolling source/ R- | ycevo_0.3.0.tar.gz |
118.3 KiB |
0.3.0 |
latest linux/jammy R-4.5 | ycevo_0.3.0.tar.gz |
279.0 KiB |
0.3.0 |
latest linux/noble R-4.5 | ycevo_0.3.0.tar.gz |
281.7 KiB |
0.3.0 |
latest source/ R- | ycevo_0.3.0.tar.gz |
118.3 KiB |
0.3.0 |
2026-04-26 source/ R- | ycevo_0.3.0.tar.gz |
118.3 KiB |
0.3.0 |
2026-04-23 source/ R- | ycevo_0.3.0.tar.gz |
118.3 KiB |
0.3.0 |
2026-04-09 windows/windows R-4.5 | ycevo_0.3.0.zip |
690.0 KiB |
0.2.1 |
2025-04-20 source/ R- | ycevo_0.2.1.tar.gz |
116.6 KiB |