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Nonparametric Smoothing of Yield Curves
8 references·0 citing·23 second hop
Nonparametric Smoothing of Yield Curves (1997)Nonparametric Smoothing of Yield CurvesParsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations (1984)Pitfalls in Smoothing Interes…A New Approach to Estimation of the Term Structure of Interest Rates (1984)A New Approach to Estimation …Term Structure Modeling Using Exponential Splines (1982)Term Structure Modeling Using…Term Structure Modeling Using Exponential Splines (1982)Term Structure Modeling Using…THE TAX‐ADJUSTED YIELD CURVE (1975)THE TAX‐ADJUSTED YIELD CURVEMeasuring the Term Structure of Interest Rates (1971)Measuring the Term Structure …The Theory of Financial Decisions. (1980)Immunizing Default-Free Bond Portfolios with a Duration Vector (1988)Chapter 13 The term structure of interest rates (1990)ESTIMATING THE GILT‐EDGED TERM STRUCTURE: BASIS SPLINES AND CONFIDENCE INTERVALS (1991)An equilibrium characterization of the term structure (1977)A continuous time approach to the pricing of bonds (1979)Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model (2003)Zero-Coupon Yield Curves: Technical Documentation (2008)The euro area sovereign debt crisis: Identifying flight-to-liquidity and the spillover mechanisms (2013)The Theory of Investment Value, by John Burr Williams (1939)What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)Term Structure of Interest Rates (2008)Noise as Information for Illiquidity (2013)Interest Rate Term Structure Estimation with Exponential Splines: A Note (1985)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)The U.S. Treasury yield curve: 1961 to the present (2007)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1975THE TAX‐ADJUSTED YIELD CURVE548 cited
  • 1971Measuring the Term Structure of Interest Rates542 cited
  • 1982Term Structure Modeling Using Exponential Splines323 cited
  • 1982Term Structure Modeling Using Exponential Splines251 cited
  • 1984Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations188 cited
  • 1984A New Approach to Estimation of the Term Structure of Interest Rates147 cited

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