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Nonparametric Smoothing of Yield Curves · Study

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ArticleNonparametric Smoothing of Yield Curves

Carsten Tanggaard1997

Article1997

Nonparametric Smoothing of Yield Curves

Carsten Tanggaard

31 citations·0/0 files stored·Review of Quantitative Finance and Accounting

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1985A Theory of the Term Structure of Interest Rates 1987Parsimonious Modeling of Yield Curves 1975THE TAX‐ADJUSTED YIELD CURVE 1971Measuring the Term Structure of Interest Rates 1982Term Structure Modeling Using Exponential Splines 1982Term Structure Modeling Using Exponential Splines 1984Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations 1984A New Approach to Estimation of the Term Structure of Interest Rates

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1990Chapter 13 The term structure of interest rateschapter · 7 shared references 1996Estimating the Term Structure of Interest Rates for Monetary Policy Analysisarticle · 7 shared references 2002Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bondsarticle · 7 shared references 1991ESTIMATING THE GILT‐EDGED TERM STRUCTURE: BASIS SPLINES AND CONFIDENCE INTERVALSarticle · 6 shared references 2001Yield curve estimation by kernel smoothing methodsarticle · 6 shared references 2002A comparison of yield curve estimation techniques using UK dataarticle · 6 shared references

Details

Year1997

Typearticle

Published1997-10-01

VenueReview of Quantitative Finance and Accounting

ISSN-L0924-865X

Languageen

Citations31

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1008231600688

openalex_workW1526340969

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