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ESTIMATING THE GILT‐EDGED TERM STRUCTURE: BASIS SPLINES AND CONFIDENCE INTERVALS · Study

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ArticleESTIMATING THE GILT‐EDGED TERM STRUCTURE: BASIS SPLINES AND CONFIDENCE INTERVALS

James M. Steeley1991

Article1991

ESTIMATING THE GILT‐EDGED TERM STRUCTURE: BASIS SPLINES AND CONFIDENCE INTERVALS

James M. Steeley

111 citations·0/0 files stored·Journal of Business Finance &amp Accounting

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

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References

1986Term Structure Movements and Pricing Interest Rate Contingent Claims 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 1981Measuring a Tax-Specific Term Structure of Interest Rates in the Market for British Government Securities

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1990Modelling the dynamics of the term structure of interest rates 2002A comparison of yield curve estimation techniques using UK data 1997Interest Rate Risk Management 2001Term Structure Estimation in Illiquid Markets 2001The joint estimation of term structures and credit spreads 2002Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds

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1996Estimating the Term Structure of Interest Rates for Monetary Policy Analysisarticle · 8 shared references 2002Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bondsarticle · 8 shared references 1990Chapter 13 The term structure of interest rateschapter · 7 shared references 1984Tax Effects in Term Structure Estimationarticle · 7 shared references 2001The joint estimation of term structures and credit spreadsarticle · 7 shared references 2001Yield curve estimation by kernel smoothing methodsarticle · 6 shared references

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Year1991

Typearticle

Published1991-06-01

VenueJournal of Business Finance &amp Accounting

ISSN-L0306-686X

Languageen

Citations111

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1111/j.1468-5957.1991.tb01119.x

openalex_workW2024967417

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