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A New Approach to Estimation of the Term Structure of Interest Rates

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Cited by:

  1. 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.
  2. Linton, Oliver & Mammen, Enno & Nielsen, Jens Perch & Tanggaard, Carsten, 1998. "Estimating yield curves by Kernel smoothing methods," SFB 373 Discussion Papers 1999,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. 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.
  4. 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.
  5. C. Emre Alper & K. Kazimov & A. Akdemir, 2007. "Forecasting the term structure of interest rates for Turkey: a factor analysis approach," Applied Financial Economics, Taylor & Francis Journals, vol. 17(1), pages 77-85.
  6. Jorge De Andrés Sánchez & Antonio Terceño Gómez, 2003. "Applications of Fuzzy Regression in Actuarial Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 665-699, December.
  7. C. Emre Alper & Aras Akdemir & Kazim Kazimov, 2004. "Estimating the Term Structure of Government Securities in Turkey," Working Papers 2004/03, Bogazici University, Department of Economics.
  8. Gouriéroux, Christian & Scaillet, O., 1994. "Estimation of the term structure from bond data," CEPREMAP Working Papers (Couverture Orange) 9415, CEPREMAP.
  9. Juan Manuel Julio & Silvia Juliana Mera & Alejandro Revéiz, 2002. "La Curva Spot (Cero Cupón) Estimation con Splines Cúbicos Suavizados, Usos y Ejemplos," Borradores de Economia 213, Banco de la Republica de Colombia.
  10. Chen, Homing & Hu, Cheng-Feng, 2010. "A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model," European Journal of Operational Research, Elsevier, vol. 204(2), pages 343-354, July.
  11. Andrea J. Heuson, 1988. "The Term Premia Relationship Implicit In The Term Structure Of Treasury Bills," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 13-20, March.
  12. Lajos Horváth & Piotr Kokoszka & Jeremy VanderDoes & Shixuan Wang, 2022. "Inference in functional factor models with applications to yield curves," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 872-894, November.
  13. Emmanuelle Clément & Christian Gourieroux & Alain Monfort, 1995. "Linear Factor Models and the Term Structure of Interest Rates," Annals of Economics and Statistics, GENES, issue 40, pages 37-65.
  14. Stefan Jaschke & Richard Stehle & Stephan Wernicke, 2000. "Arbitrage und die Gültigkeit des Barwertprinzips im Markt für Bundeswertpapiere," Schmalenbach Journal of Business Research, Springer, vol. 52(5), pages 440-468, August.
  15. Julian Manzano & Jorgen Blomvall, 2004. "Positive forward rates in the maximum smoothness framework," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 221-232.
  16. Almeida, Caio & Vicente, José, 2008. "The role of no-arbitrage on forecasting: Lessons from a parametric term structure model," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2695-2705, December.
  17. Gimeno, Ricardo & Nave, Juan M., 2009. "A genetic algorithm estimation of the term structure of interest rates," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2236-2250, April.
  18. Andreas Rathgeber & David Rudolph & Stefan Stöckl, 2015. "Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option," Review of Derivatives Research, Springer, vol. 18(2), pages 107-143, July.
  19. Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
  20. Clark, Ephraim & Lakshmi, Geeta, 2004. "Sovereign debt and the cost of migration: India 1990-1992," Journal of Asian Economics, Elsevier, vol. 15(1), pages 111-134, February.
  21. Lazar Fred & Prisman Eliezer Z., 2012. "Constructing Historical Yield Curves from Very Sparse Spot Rates: A Methodology and Examples from the 1920s Canadian Market," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 7(1), pages 1-24, May.
  22. Ram Bhar & Carl Chiarella, 1996. "Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data," Working Paper Series 70, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  23. Varga, Gyorgy, 2009. "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil [Test of Term Structure Models for Brazil]," MPRA Paper 20832, University Library of Munich, Germany.
  24. 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).
  25. Martens, Martin & Kofman, Paul, 1998. "The inefficiency of Reuters foreign exchange quotes," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 347-366, March.
  26. Clark, Ephraim & Lakshmi, Geeta, 2007. "Assymetric information and the pricing of sovereign eurobonds: India 1990-1992," Global Finance Journal, Elsevier, vol. 18(1), pages 124-142.
  27. 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.
  28. de Andres Sanchez, Jorge & Terceno Gomez, Antonio, 2004. "Estimating a fuzzy term structure of interest rates using fuzzy regression techniques," European Journal of Operational Research, Elsevier, vol. 154(3), pages 804-818, May.
  29. Urs Beer, 1990. "Eine Methode zur Schätzung der Zinsstruktur in der Schweiz," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 126(I), pages 39-50, March.
  30. G. Boero & C. Torricelli, 1999. "The Information in the Term of Structure: further Results for Germany," Working Paper CRENoS 199912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  31. Tatyana Krivobokova & Göran Kauermann & Theofanis Archontakis, 2006. "Estimating the term structure of interest rates using penalized splines," Statistical Papers, Springer, vol. 47(3), pages 443-459, June.
  32. 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.
  33. Hall, A.D, 1999. "Parametric forecasts of Australian yield curves," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 541-549.
  34. Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021. "Estimation of a nonparametric model for bond prices from cross-section and time series information," Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
  35. Leif Andersen, 2007. "Discount curve construction with tension splines," Review of Derivatives Research, Springer, vol. 10(3), pages 227-267, December.
  36. James M. Steeley, 2008. "Testing Term Structure Estimation Methods: Evidence from the UK STRIPS Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1489-1512, October.
  37. Chang-Tesh Hsieh & Iskandar Hamwi & Tim Hudson, 2002. "An inflation-hedging portfolio selection model," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 8(1), pages 20-34, February.
  38. Oh-Kang Kwon, 2002. "A General Framework for the Construction and the Smoothing of Forward Rate Curves," Research Paper Series 73, Quantitative Finance Research Centre, University of Technology, Sydney.
  39. Pham, Toan M., 1998. "Estimation of the term structure of interest rates: an international perspective," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 265-283, September.
  40. Michiel De Pooter, 2007. "Examining the Nelson-Siegel Class of Term Structure Models," Tinbergen Institute Discussion Papers 07-043/4, Tinbergen Institute.
  41. Ioannides, Michalis, 2003. "A comparison of yield curve estimation techniques using UK data," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 1-26, January.
  42. Varga, Gyorgy, 2009. "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 63(4), December.
  43. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 21-45.
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