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Estimating the term structure of interest rates using penalized splines · Study

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ArticleEstimating the term structure of interest rates using penalized splines

Tatyana Krivobokova2006

Article2006

Estimating the term structure of interest rates using penalized splines

Tatyana Krivobokova · Göran Kauermann · Theofanis Archontakis

17 citations·0/0 files stored·Statistical Papers

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Stochastic processes and financial applications Statistical Methods and Applications Statistical Methods and Inference

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1987Parsimonious Modeling of Yield Curves 2003Forecasting the Term Structure of Government Bond Yields 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1986Term Structure Movements and Pricing Interest Rate Contingent Claims 1971Measuring the Term Structure of Interest Rates 1984A New Approach to Estimation of the Term Structure of Interest Rates

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Year2006

Typearticle

Published2006-06-01

VenueStatistical Papers

ISSN-L0932-5026

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00362-006-0297-8

openalex_workW2065091130

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