IDEAS home Printed from https://ideas.repec.org/a/spr/decfin/v20y1997i2p125-131.html
   My bibliography  Save this article

Monotonicity preserving regression techniques for interest rate term structure estimation: A note

Author

Listed:
  • Luca Barzanti
  • Corrado Corradi

Abstract

No abstract is available for this item.

Suggested Citation

  • Luca Barzanti & Corrado Corradi, 1997. "Monotonicity preserving regression techniques for interest rate term structure estimation: A note," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 20(2), pages 125-131, September.
    • Handle: RePEc:spr:decfin:v:20:y:1997:i:2:p:125-131
    DOI: 10.1007/BF02728996
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/BF02728996
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/BF02728996?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Mark Fisher & Douglas Nychka & David Zervos, 1995. "Fitting the term structure of interest rates with smoothing splines," Finance and Economics Discussion Series 95-1, Board of Governors of the Federal Reserve System (U.S.).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Urs W. Birchler & Diana Hancock, 2003. "What does the yield on subordinated bank debt measure?," Finance and Economics Discussion Series 2004-19, Board of Governors of the Federal Reserve System (U.S.).
    2. Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004. "Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 35(2), pages 1-100.
    3. Marcello Pericoli, 2012. "Expected inflation and inflation risk premium in the euro area and in the United States," Temi di discussione (Economic working papers) 842, Bank of Italy, Economic Research and International Relations Area.
    4. Michael J. Fleming, 2000. "The benchmark U.S. Treasury market: recent performance and possible alternatives," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 129-145.
    5. Andrew Jeffrey & Oliver Linton & Thong Nguyen, 2006. "Flexible Term Structure Estimation: Which Method is Preferred?," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 63(1), pages 99-122, February.
    6. Fan, Longzhen & Johansson, Anders C., 2009. "What Moves Bond Yields In China?," Working Paper Series 2009-9, Stockholm School of Economics, China Economic Research Center.
    7. Perraudin, William & Taylor, Alex P., 2004. "On the consistency of ratings and bond market yields," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2769-2788, November.
    8. Alejandro Revéiz Hérault & Juan Manuel Julio & Silvia Juliana Mera, "undated". "Títulos hipotecarios de los Estados Unidos: Estudios de las características del mercado e instrumentos," Lecturas en Finanzas 002961, Banco de la Republica de Colombia.
    9. Morini,S., 2003. "Estimación de la curva de tipos cupón-cero con polinomios de Legendre," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 21, pages 363-375, Agosto.
    10. Damir Filipovi'c & Sander Willems, 2016. "Exact Smooth Term-Structure Estimation," Papers 1606.03899, arXiv.org, revised Aug 2018.
    11. Marcello Pericoli, 2014. "Real Term Structure and Inflation Compensation in the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 1-42, March.
    12. Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2003. "The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    13. Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001. "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, vol. 105(1), pages 185-223, November.
    14. Gonzalo Cortazar & Eduardo S. Schwartz & Lorenzo F. Naranjo, 2007. "Term-structure estimation in markets with infrequent trading," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 353-369.
    15. J. Huston McCulloch, 2001. "The Inflation Premium implicit in the US Real and Nominal," Computing in Economics and Finance 2001 210, Society for Computational Economics.
    16. Shaw, Frances & Murphy, Finbarr & O’Brien, Fergal, 2014. "The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps," Research in International Business and Finance, Elsevier, vol. 30(C), pages 348-368.
    17. Rafael Barros de Rezende, 2011. "Giving Flexibility to the Nelson-Siegel Class of Term Structure Models," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 27-49.
    18. Frank Skinner & Nicholas Papageorgiou, 2001. "Credit Spreads and the Treasury Zero Coupon Spot Curve," ICMA Centre Discussion Papers in Finance icma-dp2001-06, Henley Business School, University of Reading, revised Jul 2002.
    19. Cortazar, Gonzalo & Schwartz, Eduardo S. & Naranjo, Lorezo, 2003. "Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data," University of California at Los Angeles, Anderson Graduate School of Management qt56h775cz, Anderson Graduate School of Management, UCLA.
    20. Gurkaynak, Refet S. & Sack, Brian & Wright, Jonathan H., 2007. "The U.S. Treasury yield curve: 1961 to the present," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2291-2304, November.

    More about this item

    Keywords

    term structure estimation; tension splines;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:decfin:v:20:y:1997:i:2:p:125-131. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.