A note on interest rate term structure estimation using tension splines

DOI10.1016/S0167-6687(97)00035-8MaRDI QIDQ1265925zbMATH OpenFDO

Authors Luca Barzanti, Corrado Corradi

Publication date 5 May 1999

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

tension splinesterm structure estimation

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• scientific article; zbMATH DE number 938655

Cites work

• scientific article; zbMATH DE number 883145 (Why is no real title available?)
• scientific article; zbMATH DE number 938655 (Why is no real title available?)
• A simple rational spline and its application to monotonic interpolation to monotonic data
• Alternatives to the Exponential Spline in Tension
• An algorithm for computing constrained smoothing spline functions
• Exponential spline interpolation
• On the estimation of smooth forward rate curves from a finite number of observations: A comment
• Properties of splines in tension
• Scalar- and planar-valued curve fitting using splines under tension

Cited in

(14)

• Knot selection of estimating the term structure with spline function based on M-SCAD criterion
• \(C^2\) tension splines construction based on a class of sixth-order ordinary differential equations
• A note on interest rate term structure estimation by monotonic smoothing splines
• Estimating the term structure of interest rates using penalized splines
• Term structure extrapolation and asymptotic forward rates
• Dynamic functional data analysis with non-parametric state space models
• Discount curve construction with tension splines
• A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE
• A noisy principal component analysis for forward rate curves
• Exact smooth term-structure estimation
• Flexible term structure estimation: Which method is preferred?
• Constrained smoothing \(B\)-splines for the term structure of interest rates
• ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE
• Approximating term structure of interest rates using cubic \(L_1\) splines

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