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Estimating the term structure of interest rates using penalized splines
15 references·0 citing·38 second hop
Estimating the term structure of interest rates using penalized splines (2006)Estimating the term structure of interest…Flexible Term Structure Estimation: Which Method is Preferred? (2006)Flexible Term Structure Estim…Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model (2004)Estimating the Interest Rate …Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…A comparison of yield curve estimation techniques using UK data (2002)A comparison of yield curve e…Yield curve estimation by kernel smoothing methods (2001)Yield curve estimation by ker…Discrete-Time Models of Bond Pricing (1998)Discrete-Time Models of Bond …Fitting The Term Structure of Interest Rates With Smoothing Splines (1995)Fitting The Term Structure of…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Modelling the dynamics of the term structure of interest rates (1990)Modelling the dynamics of the…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…A New Approach to Estimation of the Term Structure of Interest Rates (1984)A New Approach to Estimation …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Measuring the Term Structure of Interest Rates (1971)Measuring the Term Structure …Theory of Rational Option Pricing (1973)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)The Theory of Financial Decisions. (1980)Term Structure Modeling Using Exponential Splines (1982)Immunizing Default-Free Bond Portfolios with a Duration Vector (1988)Chapter 13 The term structure of interest rates (1990)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)THE TAX‐ADJUSTED YIELD CURVE (1975)The Determinants of Credit Spread Changes (2001)Founding family ownership and the agency cost of debt (2003)Term Structure of Interest Rates (2008)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)Empirical Performance of Alternative Option Pricing Models (1997)Prospect Theory and Asset Prices (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)GMM estimation with cross sectional dependence (1999)The Comovement of US and UK Stock Markets (2004)Examining the Nelson-Siegel Class of Term Structure Models (2007)Modelling Nonlinear Economic Time Series (2010)Discretion versus policy rules in practice (1993)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)What does the yield curve tell us about GDP growth? (2005)Approximately normal tests for equal predictive accuracy in nested models (2006)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Some Lessons from the Yield Curve (1995)The U.S. Treasury yield curve: 1961 to the present (2007)Noise as Information for Illiquidity (2013)The econometrics of financial markets (1996)Explaining the Rate Spread on Corporate Bonds (2001)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1971Measuring the Term Structure of Interest Rates542 cited
  • 1984A New Approach to Estimation of the Term Structure of Interest Rates147 cited
  • 1995Fitting The Term Structure of Interest Rates With Smoothing Splines146 cited
  • 2001Yield curve estimation by kernel smoothing methods101 cited
  • 1998Discrete-Time Models of Bond Pricing91 cited
  • 1990Modelling the dynamics of the term structure of interest rates61 cited
  • 2004Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model60 cited
  • 2002A comparison of yield curve estimation techniques using UK data55 cited
  • 2006Flexible Term Structure Estimation: Which Method is Preferred?23 cited

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