My bibliography
Save this item
Estimating the Term Structure of Interest Rates
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- van Bergeijk, Peter A. G. & Berk, Jan Marc, 2000. "Is the yield curve a useful Information variable for the Eurosystem?," Working Paper Series 0011, European Central Bank.
- 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.
- 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.
- Jelena Zubkova, 2003. "Interest Rate Term Structure in Latvia in the Monetary Policy Context," Working Papers 2003/03, Latvijas Banka.
- 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.
- Steeley, James M., 1997. "Implied volatility from the term structure: a simple analytical approximation," Economics Letters, Elsevier, vol. 57(3), pages 345-352, December.
- 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.
- Barr, David & Campbell, John, 1997. "Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices," Scholarly Articles 3163261, Harvard University Department of Economics.
- David G. Barr & John Y. Campbell, 1996. "Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices," NBER Working Papers 5821, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Michael Joyce & Vicky Read, 2002.
"Asset price reactions to RPI announcements,"
Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 253-270.
- M A S Joyce & V Read, 1999. "Asset price reactions to RPI announcements," Bank of England working papers 94, Bank of England.
- 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.
- 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.
- Martin Evans, 2002. "Real Risk, Inflation Risk, and the Term Structure," Working Papers gueconwpa~02-02-10, Georgetown University, Department of Economics.
- 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.
- Carmen M. Reinhart & M. Belen Sbrancia, 2011. "The Liquidation of Government Debt," BIS Working Papers 363, Bank for International Settlements.
- Carmen M. Reinhart & M. Belen Sbrancia, 2011. "The Liquidation of Government Debt," NBER Working Papers 16893, National Bureau of Economic Research, Inc.
- Ms. Carmen Reinhart & M. Belen Sbrancia, 2015. "The Liquidation of Government Debt," IMF Working Papers 2015/007, International Monetary Fund.
- Carmen M. Reinhart & M. Belen Sbrancia, 2011. "The Liquidation of Government Debt," Working Paper Series WP11-10, Peterson Institute for International Economics.
- 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.
- 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).
- 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.
- 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.
- 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.
- 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.
- Martin Evans, 1998. "Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?," Finance 9809001, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Laurini, Márcio P. & Moura, Marcelo, 2007. "Constrained Smoothing Splines for the Term Structure of Interest Rates," Insper Working Papers wpe_100, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- 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.
- 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.