Measuring the Term Structure of Interest Rates

1971-01-01articleThe Journal of Business542 citationsclosed

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Stochastic processes and financial applications Financial Markets and Investment Strategies Credit Risk and Financial Regulations

Abstract

Estimates a yield curve using a cubic spline approximation to the discount function, as described in McCulloch (1971), Measuring the Term Structure of Interest Rates, Journal of Business, vol 44, pp 19-31.(This abstract was borrowed from another version of this item.)

Citations in this library

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