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Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices

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References

1975THE TAX‐ADJUSTED YIELD CURVE548 cited
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1995Fitting The Term Structure of Interest Rates With Smoothing Splines146 cited

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2007Estimating option implied risk‐neutral densities using spline and hypergeometric functions49 cited
2006Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models45 cited
2002Term structure estimation from on-the-run Treasuries37 cited

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2001

Term Structure Estimation in Illiquid Markets

35 cited

1998The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates33 cited

2023Discount Rates, Debt Maturity, and the Fiscal Theory26 cited

2003Base Rate Pass-Through: Evidence from Banks' and Building Societies' Retail Rates17 cited

2011Predictions of Short-Term Rates and the Expectations Hypothesis14 cited