Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
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Publication:5474405
DOI10.1198/016214504000000070zbMath1089.62521OpenAlexW2020389998MaRDI QIDQ5474405
Yan Yu, David Ruppert, Robert A. Jarrow
Publication date: 26 June 2006
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/016214504000000070
Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (11)
A critical review of univariate non-parametric estimation of first derivatives ⋮ Estimating the term structure of interest rates using penalized splines ⋮ A hybrid spline-based parametric model for the yield curve ⋮ Estimating functions and derivatives via adaptive penalized splines ⋮ Dynamic functional data analysis with non-parametric state space models ⋮ A note on wavelet estimation of the derivatives of a regression function in a random design setting ⋮ Constrained smoothing \(B\)-splines for the term structure of interest rates ⋮ Single-index coefficient models for nonlinear time series ⋮ A Bayesian approach to term structure modeling using heavy‐tailed distributions ⋮ Penalized spline estimation for functional coefficient regression models ⋮ Quadratic Inference Functions for Varying‐Coefficient Models with Longitudinal Data
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