Estimating the term structure of interest rates using penalized splines

DOI10.1007/S00362-006-0297-8MaRDI QIDQ849872zbMATH OpenOpenAlexFDO

Authors Tatyana Krivobokova, Göran Kauermann, Theofanis Archontakis

Publication date 14 November 2006

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-006-0297-8

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical computation using splines (65D07)

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Cites work

• A Note on Penalized Spline Smoothing With Correlated Errors
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
• Flexible smoothing with B-splines and penalties. With comments and a rejoinder by the authors
• Flexible term structure estimation: Which method is preferred?
• Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems
• Nonparametric regression with correlated errors.
• Semiparametric Regression
• Smoothing and mixed models
• Yield curve estimation by kernel smoothing methods

Cited in

(9)

• Knot selection of estimating the term structure with spline function based on M-SCAD criterion
• A note on interest rate term structure estimation by monotonic smoothing splines
• Term structure analysis with big data: one-step estimation using bond prices
• Estimating the term structure with a semiparametric Bayesian hierarchical model: an application to corporate bonds
• Flexible term structure estimation: Which method is preferred?
• ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE
• Bayesian spectral density estimation using P-splines with quantile-based knot placement
• Approximating term structure of interest rates using cubic \(L_1\) splines
• Estimating a fuzzy term structure of interest rates using fuzzy regression techniques.

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Uses Software

• SemiPar

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