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ESTIMATING THE GILT‐EDGED TERM STRUCTURE: BASIS SPLINES AND CONFIDENCE INTERVALS
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ESTIMATING THE GILT‐EDGED TERM STRUCTURE: BASIS SPLINES AND CONFIDENCE INTERVALS (1991)ESTIMATING THE GILT‐EDGED TERM STRUCTURE:…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …Interest Rate Term Structure Estimation with Exponential Splines: A Note (1985)Interest Rate Term Structure …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…Measuring a Tax-Specific Term Structure of Interest Rates in the Market for British Government Securities (1981)Measuring a Tax-Specific Term…ESTIMATION AND USES OF THE TERM STRUCTURE OF INTEREST RATES (1976)ESTIMATION AND USES OF THE TE…THE TAX‐ADJUSTED YIELD CURVE (1975)THE TAX‐ADJUSTED YIELD CURVEMeasuring the Term Structure of Interest Rates (1971)Measuring the Term Structure …Forecasting the term structure of Chinese Treasury yields (2012)Forecasting the term structur…Constrained smoothing -splines for the term structure of interest rates (2009)Constrained smoothing -spline…Approximating term structure of interest rates using cubic L1 splines (2006)Approximating term structure …Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds (2002)Fitting term structure of int…Estimación de la estructura a plazo de las tasas de interés en Colombia (2002)Estimación de la estructura a…A comparison of yield curve estimation techniques using UK data (2002)A comparison of yield curve e…The joint estimation of term structures and credit spreads (2001)The joint estimation of term …Term Structure Estimation in Illiquid Markets (2001)Term Structure Estimation in …Interest Rate Risk Management (1997)Interest Rate Risk ManagementModelling the dynamics of the term structure of interest rates (1990)Modelling the dynamics of the…Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Optimal financing decisions (1965)Debt Management and the Term Structure of Interest Rates: An Empirical Analysis of Recent Experience (1967)Asset Values, Interest-Rate Changes, and Duration (1977)Factors Affecting Seasoned Corporate Bond Prices (1981)Estimating the Term Structure of Interest Rates for Monetary Policy Analysis (1996)The Theory of Financial Decisions. (1980)The Term Structure of Interest Rates (1987)Immunizing Default-Free Bond Portfolios with a Duration Vector (1988)Chapter 13 The term structure of interest rates (1990)The Theory of Linear Economic Models (1962)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An International Study of Tax Effects on Government Bonds (1984)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)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)The Case of the Negative Nominal Interest Rates: New Estimates of the Term Structure of Interest Rates During the Great Depression (1987)Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model (2004)
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References

  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 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
  • 1981Measuring a Tax-Specific Term Structure of Interest Rates in the Market for British Government Securities147 cited
  • 1976ESTIMATION AND USES OF THE TERM STRUCTURE OF INTEREST RATES131 cited
  • 1985Interest Rate Term Structure Estimation with Exponential Splines: A Note120 cited

Cited by

  • 1990Modelling the dynamics of the term structure of interest rates61 cited
  • 2002A comparison of yield curve estimation techniques using UK data55 cited
  • 1997Interest Rate Risk Management55 cited
  • 2001Term Structure Estimation in Illiquid Markets35 cited
  • 2001The joint estimation of term structures and credit spreads

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32 cited
  • 2002Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds31 cited
  • 2009Constrained smoothing -splines for the term structure of interest rates24 cited
  • 2012Forecasting the term structure of Chinese Treasury yields21 cited
  • 2006Approximating term structure of interest rates using cubic L1 splines20 cited
  • 2002Estimación de la estructura a plazo de las tasas de interés en Colombia12 cited