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ArticleTerm Structure Modeling Using Exponential Splines

Oldrich Alfons Vasicek1982

Article1982

Term Structure Modeling Using Exponential Splines

Oldrich Alfons Vasicek · H. Gifford Fong

251 citations·0/0 files stored·The Journal of Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1985A Theory of the Term Structure of Interest Rates 2017Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*

Cited by

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 2013The euro area sovereign debt crisis: Identifying flight-to-liquidity and the spillover mechanisms 1990Chapter 13 The term structure of interest rates 1985Interest Rate Term Structure Estimation with Exponential Splines: A Note 1991ESTIMATING THE GILT‐EDGED TERM STRUCTURE: BASIS SPLINES AND CONFIDENCE INTERVALS 1984An International Study of Tax Effects on Government Bonds 2001Yield curve estimation by kernel smoothing methods

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Year1982

Typearticle

Published1982-05-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations251

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2307/2327333

openalex_workW4237429995

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