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Term Structure Modeling Using Exponential Splines

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Author Info
Vasicek, Oldrich A
Fong, H Gifford
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 37 (1982)
Issue (Month): 2 (May)
Pages: 339-48
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Handle: RePEc:bla:jfinan:v:37:y:1982:i:2:p:339-48

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  2. Hervé Alexandre & Maxime Merli, 2003. "Notations et écarts de rentabilité:le marché français avant l'euro," Revue Finance Contrôle Stratégie, Editions Economica, vol. 6(3), pages 5-22, September. [Downloadable!]
  3. Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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  4. Gonzalo Cortazar & Eduardo S. Schwartz & Lorenzo F. Naranjo, 2007. "Term-structure estimation in markets with infrequent trading," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 353-369. [Downloadable!]
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  6. Juan Manuel Julio & Silvia Juliana Mera & Alejandro Revéiz, . "La Curva Spot (Cero Cupón) Estimation con Splines Cúbicos Suavizados, Usos y Ejemplos," Borradores de Economia 213, Banco de la Republica de Colombia. [Downloadable!]
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  8. Eliseo Navarro & Juan M. Nave, 1997. "A two-factor duration model for interest rate risk management," Investigaciones Economicas, Fundación SEPI, vol. 21(1), pages 55-74, January. [Downloadable!]
  9. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," CFS Working Paper Series 2004/11, Center for Financial Studies. [Downloadable!]
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  10. Laurini, Márcio P. & Moura, Marcelo, 2007. "Constrained Smoothing Splines for the Term Structure of Interest Rates," Ibmec Working Papers wpe_98, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
  11. S. R. Jaschke, . "Arbitrage Bounds for the Term Structure of Interest Rates," Sonderforschungsbereich 373 1995-35, Humboldt Universitaet Berlin.
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  14. Bolder, David & Streliski, David, 1999. "Yield Curve Modelling at the Bank of Canada," Technical Reports 84, Bank of Canada. [Downloadable!]
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