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A note on direct term structure estimation using monotonic splines

Author

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  • Luca Barzanti
  • Corrado Corradi

Abstract

Con riferimento allaDirect Term Structure Estimation, si propone una parametrizzazione mediantespline monotone come alternativa al tradizionale impiego dei polinomi di Bernstein. La sperimentazione effettuata con dati del Mercato Telematico dei titoli di Stato dimostra l'efficacia del metodo. Copyright Associazione per la Matematica Applicata alle Scienze Economiche e Sociali (AMASES) 1999

Suggested Citation

  • Luca Barzanti & Corrado Corradi, 1999. "A note on direct term structure estimation using monotonic splines," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 22(1), pages 101-108, March.
    • Handle: RePEc:spr:decfin:v:22:y:1999:i:1:p:101-108
    DOI: 10.1007/BF02912352
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    References listed on IDEAS

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    1. Shea, Gary S., 1984. "Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(3), pages 253-269, September.
    2. Brown, Roger H. & Schaefer, Stephen M., 1994. "The term structure of real interest rates and the Cox, Ingersoll, and Ross model," Journal of Financial Economics, Elsevier, vol. 35(1), pages 3-42, February.
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    Cited by:

    1. 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.
    2. Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016. "Kriging of financial term-structures," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.
    3. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Finance Research Letters, Elsevier, vol. 15(C), pages 78-84.
    4. Poletti Laurini, Márcio & Moura, Marcelo, 2010. "Constrained smoothing B-splines for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 339-350, April.

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