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Concerning the regression approach to construct the yield curve, which of the following statements is true The maximum number of years to maturity, i.e., T,
Concerning the regression approach to construct the yield curve, which of the following statements is true The maximum number of years to maturity, i.e., T, must be less than or equal to the number of coupon bonds, i.e., N, included in the regression. The pricing error is defined as the difference between the actual price and the implied price, which is calculated by multiplying the estimated discount factors by the cash-flow matrix. Ordinary-least-squared (OLS) can be used to estimate the term-structure of interest rates. Options A, B and C are all correct. None of the above are correct
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