✦ LIBER ✦

Estimating the term structure of interest rates using penalized splines

✍ Scribed by Tatyana Krivobokova; Göran Kauermann; Theofanis Archontakis

Publisher: Springer-Verlag
Year: 2006
Tongue: English
Weight: 887 KB
Volume: 47
Category: Article
ISSN: 0932-5026
DOI: 10.1007/s00362-006-0297-8

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A note on interest rate term structure e

A note on interest rate term structure estimation using tension splines

✍ Luca Barzanti; Corrado Corradi 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 366 KB

Tension splines are proposed as a flexible tool for interest rate term structure estimation to circumvent some difficulties arising with tbe ordinary cubic spline estimators. A few computational experiments on test problems support the merits of the proposed approach.

Bayesian estimation of cointegrating thr

Bayesian estimation of cointegrating thresholds in the term structure of interest rates

✍ K. G. Balcombe 📂 Article 📅 2006 🏛 Springer-Verlag 🌐 English ⚖ 301 KB

Currency Crises and the Term Structure o

Currency Crises and the Term Structure of Interest Rates

✍ Alan Sutherland 📂 Article 📅 2006 🏛 Springer US 🌐 English ⚖ 239 KB

Arbitrage bounds for the term structure

Arbitrage bounds for the term structure of interest rates

✍ Stefan R. Jaschke 📂 Article 📅 1997 🏛 Springer-Verlag 🌐 English ⚖ 150 KB

Erratum to: “A note on interest rate ter

Erratum to: “A note on interest rate term structure estimation using tension splines” [Insurance: Mathematics and Economics 22 (1998) 139–143]

✍ Luca Barzanti; Corrado Corradi 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 99 KB

On the de-facto convex structure of a le

On the de-facto convex structure of a least square problem for estimating the term structure of interest rates

✍ Hiroshi Konno; Toru Takase 📂 Article 📅 1996 🏛 Springer 🌐 English ⚖ 362 KB