DISCOUNT CURVE ESTIMATION BY MONOTONIZING MCCULLOCH SPLINES

DOI10.1142/S0219024908004919zbMath1185.91182OpenAlexW2090536563MaRDI QIDQ3527434

Daniel Ziggel, Dette, Holger

Publication date: 29 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024908004919

zbMATH Keywords

McCulloch splinesmonotone discount curvenonnegative forward rates

Mathematics Subject Classification ID

Density estimation (62G07) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Spline approximation (41A15)

Uses Software

• Excel

Cites Work

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• A simple nonparametric estimator of a strictly monotone regression function
• Interpolation Methods for Curve Construction
• A comparative study of monotone nonparametric kernel estimates
• Yield curve estimation by kernel smoothing methods

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