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Estimating the Term Structure of Interest Rates

Citations

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Cited by:

  1. Zvi Wiener & Helena Pompushko, 2006. "The Estimation of Nominal and Real Yield Curves from Government," Bank of Israel Working Papers 2006.03, Bank of Israel.
  2. Lin, Bing-Huei, 1999. "Fitting the term structure of interest rates for Taiwanese government bonds," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 331-352, November.
  3. Jelena Zubkova, 2003. "Interest Rate Term Structure in Latvia in the Monetary Policy Context," Working Papers 2003/03, Latvijas Banka.
  4. Dette, Holger & Ziggel, Daniel, 2006. "Discount curve estimation by monotonizing McCulloch Splines," Technical Reports 2006,27, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  5. Steeley, James M., 1997. "Implied volatility from the term structure: a simple analytical approximation," Economics Letters, Elsevier, vol. 57(3), pages 345-352, December.
  6. David Barr & John Campbell, "undated". "Inflation, real interest rates and the bond market: a study of UK nominal and index-linked Government bond prices," CERF Discussion Paper Series 95-09, Economics and Finance Section, School of Social Sciences, Brunel University.
  7. Bing-Huei Lin & Ren-Raw Chen & Jian-Hsin Chou, 1999. "Pricing and quality option in Japanese government bond futures," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 51-65.
  8. Lin, Bing-Huei & Yeh, Shih-Kuo, 2001. "Estimation for factor models of term structure of interest rates with jumps: the case of the Taiwanese government bond market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 167-197, June.
  9. Michael Joyce & Vicky Read, 2002. "Asset price reactions to RPI announcements," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 253-270.
  10. Schich, Sebastian T., 1996. "Alternative specifications of the German term structure and its information content regarding inflation," Discussion Paper Series 1: Economic Studies 1996,08e, Deutsche Bundesbank.
  11. Martin D. D. Evans, 2003. "Real risk, inflation risk, and the term structure," Economic Journal, Royal Economic Society, vol. 113(487), pages 345-389, April.
  12. Carmen M. Reinhart & M. Belen Sbrancia1, 2015. "The liquidation of government debt," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 30(82), pages 291-333.
  13. J. Huston McCulloch & Levin A. Kochen, 1998. "The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates," Working Papers 98-12, Ohio State University, Department of Economics.
  14. Emma Berenguer-Carceles & Ricardo Gimeno & Juan M. Nave, 2012. "Estimation of the Term Structure of Interest Rates: Methodology and Applications," Working Papers 12.06, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
  15. Shih-Kuo Yeh & Bing-Huei Lin, 2003. "Term Structure Fitting Models and Information Content: An Empirical Examination in Taiwanese Government Bond Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 305-348.
  16. Emiliano Delfau, 2017. "Métodos de Estimación de Curvas de Rendimiento Cupón Cero en Argentina," CEMA Working Papers: Serie Documentos de Trabajo. 623, Universidad del CEMA.
  17. James Steeley, 2004. "Estimating time-varying risk premia in UK long-term government bonds," Applied Financial Economics, Taylor & Francis Journals, vol. 14(5), pages 367-373.
  18. 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.
  19. Martin Evans, 1998. "Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?," Finance 9809001, University Library of Munich, Germany.
  20. Mr. Papa M N'Diaye & Mr. Douglas Laxton, 2002. "Monetary Policy Credibility and the Unemployment-Inflation Tradeoff: Some Evidence From 17 Industrial Countries," IMF Working Papers 2002/220, International Monetary Fund.
  21. Bing-Huei Lin, 2002. "Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds," Applied Financial Economics, Taylor & Francis Journals, vol. 12(1), pages 57-75.
  22. van Bergeijk, Peter A. G. & Berk, Jan Marc, 2000. "Is the yield curve a useful Information variable for the Eurosystem?," Working Paper Series 11, European Central Bank.
  23. 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.
  24. James M. Steeley, 2014. "A shape-based decomposition of the yield adjustment term in the arbitrage-free Nelson and Siegel (AFNS) model of the yield curve," Applied Financial Economics, Taylor & Francis Journals, vol. 24(10), pages 661-669, May.
  25. 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.
  26. Holger Dette & Daniel Ziggel, 2008. "Discount Curve Estimation By Monotonizing Mcculloch Splines," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(05), pages 529-544.
  27. Shang-Wu Yu, 1999. "Approximating the term structure of interest rates in Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 6(7), pages 403-407.
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