Estimating the term structure of interest rates using penalized splines

被引：0
|
作者：
Tatyana Krivobokova
Göran Kauermann
Theofanis Archontakis
机构：
[1] University of Bielefeld,Department of Economics
[2] Goethe-University Frankfurt am Main,Department of Economics
来源：
Statistical Papers | 2006年 / 47卷
关键词：
Interest Rate; Term Structure; Yield Curve; Bond Price; NBER Working Paper;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
页码：443 / 459
页数：16
相关论文
共 50 条
  • [1] Estimating the term structure of interest rates using penalized splines
    Krivobokova, T
    Kauermann, G
    Archontakis, T
    [J]. STATISTICAL PAPERS, 2006, 47 (03) : 443 - 459
  • [2] Estimating Term Structure Using Nonlinear Splines: A Penalized Likelihood Approach
    Kawasaki, Yoshinori
    Ando, Tomohiro
    [J]. MODSIM 2005: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION: ADVANCES AND APPLICATIONS FOR MANAGEMENT AND DECISION MAKING: ADVANCES AND APPLICATIONS FOR MANAGEMENT AND DECISION MAKING, 2005, : 864 - 870
  • [3] Approximating term structure of interest rates using cubic L1 splines
    Chiu, Nan-Chieh
    Fang, Shu-Cherng
    Lavery, John E.
    Lin, Jen-Yen
    Wang, Yong
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2008, 184 (03) : 990 - 1004
  • [4] Constrained smoothing B-splines for the term structure of interest rates
    Laurini, Marcio Poletti
    Moura, Marcelo
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2010, 46 (02): : 339 - 350
  • [5] Estimating VAR models for the term structure of interest rates
    Vereda, Luciano
    Lopes, Helio
    Fukuda, Regina
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2008, 42 (02): : 548 - 559
  • [6] Estimating a fuzzy term structure of interest rates using fuzzy regression techniques
    Sánchez, JDA
    Gómez, AT
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2004, 154 (03) : 804 - 818
  • [7] Estimating the interest rate term structure of corporate debt with a semiparametric penalized spline model
    Jarrow, R
    Ruppert, D
    Yu, Y
    [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2004, 99 (465) : 57 - 66
  • [8] Estimating the term structure of interest rates for monetary policy analysis
    Dahlquist, M
    Svensson, LEO
    [J]. SCANDINAVIAN JOURNAL OF ECONOMICS, 1996, 98 (02): : 163 - 183
  • [9] Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines
    Mineo, Eduardo
    Alencar, Airlane Pereira
    Moura, Marcelo
    Fabris, Antonio Elias
    [J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2020, 13 (04)
  • [10] A note on interest rate term structure estimation using tension splines
    Barzanti, L
    Corradi, C
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 1998, 22 (02): : 139 - 143
12345