Yield curve estimation by kernel smoothing methods

DOI10.1016/S0304-4076(01)00075-6zbMath1037.62112OpenAlexW3123186704WikidataQ128090023 ScholiaQ128090023MaRDI QIDQ5952031

Carsten Tanggaard, Jens Perch Nielsen, Enno Mammen, Oliver B. Linton

Publication date: 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00075-6

zbMATH Keywords

Hilbert spacekernel estimationcoupon bondsterm structure estimationyield curvezero coupon

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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