A note on interest rate term structure estimation using tension splines
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Publication:1265925
DOI10.1016/S0167-6687(97)00035-8zbMath0911.90019MaRDI QIDQ1265925
Corrado Corradi, Luca Barzanti
Publication date: 5 May 1999
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
91G30: Interest rates, asset pricing, etc. (stochastic models)
Related Items
Exact Smooth Term-Structure Estimation, Dynamic functional data analysis with non-parametric state space models, ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE, Term structure extrapolation and asymptotic forward rates, A noisy principal component analysis for forward rate curves, Constrained smoothing \(B\)-splines for the term structure of interest rates, Discount curve construction with tension splines, \(C^2\) tension splines construction based on a class of sixth-order ordinary differential equations, A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE
Cites Work
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- Alternatives to the Exponential Spline in Tension
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