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Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada

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  • David Bolder
  • Scott Gusba

Abstract

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Suggested Citation

  • David Bolder & Scott Gusba, 2002. "Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada," Staff Working Papers 02-29, Bank of Canada.
    • Handle: RePEc:bca:bocawp:02-29
    as

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    File URL: https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-29.pdf
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    References listed on IDEAS

    as
    1. Mark Fisher, 2001. "Forces that shape the yield curve: Parts 1 and 2," FRB Atlanta Working Paper 2001-3, Federal Reserve Bank of Atlanta.
    2. 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.
    3. 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.
    4. Shea, Gary S, 1985. "Interest Rate Term Structure Estimation with Exponential Splines: A Note," Journal of Finance, American Finance Association, vol. 40(1), pages 319-325, March.
    5. Nicola Anderson & John Sleath, 2001. "New estimates of the UK real and nominal yield curves," Bank of England working papers 126, Bank of England.
    6. Robert R. Bliss, 1996. "Testing term structure estimation methods," FRB Atlanta Working Paper 96-12, Federal Reserve Bank of Atlanta.
    7. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
    8. Schich, Sebastian T., 1997. "Estimating the German term structure," Discussion Paper Series 1: Economic Studies 1997,04e, Deutsche Bundesbank.
    9. Daniel F. Waggoner, 1997. "Spline methods for extracting interest rate curves from coupon bond prices," FRB Atlanta Working Paper 97-10, Federal Reserve Bank of Atlanta.
    10. David Bolder & David Stréliski, 1999. "Yield Curve Modelling at the Bank of Canada," Technical Reports 84, Bank of Canada.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Interest rates; Econometric and statistical methods; Financial markets;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • G1 - Financial Economics - - General Financial Markets

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