IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v18y1996i2p115-117.html
   My bibliography  Save this article

On the estimation of smooth forward rate curves from a finite number of observations: A comment

Author

Listed:
  • Corradi, Corrado

Abstract

No abstract is available for this item.

Suggested Citation

  • Corradi, Corrado, 1996. "On the estimation of smooth forward rate curves from a finite number of observations: A comment," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 115-117, July.
    • Handle: RePEc:eee:insuma:v:18:y:1996:i:2:p:115-117
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0167-6687(95)00032-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Shea, Gary S., 1984. "Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(3), pages 253-269, September.
    2. Delbaen, F. & Lorimier, Sabine, 1992. "Estimation of the yield curve and the forward rate curve starting from a finite number of observations," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 259-269, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Barzanti, Luca & Corradi, Corrado, 1998. "A note on interest rate term structure estimation using tension splines," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 139-143, June.
    2. Lazar Fred & Prisman Eliezer Z., 2012. "Constructing Historical Yield Curves from Very Sparse Spot Rates: A Methodology and Examples from the 1920s Canadian Market," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 7(1), pages 1-24, May.
    3. Rogers, L. C. G. & Stummer, Wolfgang, 2000. "Consistent fitting of one-factor models to interest rate data," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 45-63, August.
    4. Poletti Laurini, Márcio & Moura, Marcelo, 2010. "Constrained smoothing B-splines for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 339-350, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hans-Jürg Büttler, 2007. "An Orthogonal Polynomial Approach to Estimate the Term Structure of Interest Rates," Working Papers 2007-08, Swiss National Bank.
    2. Damir Filipović & Sander Willems, 2016. "Exact Smooth Term Structure Estimation," Swiss Finance Institute Research Paper Series 16-38, Swiss Finance Institute.
    3. Hans-Jürg Büttler, 2002. "The information content of the yield curve," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 298-328, Bank for International Settlements.
    4. Poletti Laurini, Márcio & Moura, Marcelo, 2010. "Constrained smoothing B-splines for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 339-350, April.
    5. Lazar Fred & Prisman Eliezer Z., 2012. "Constructing Historical Yield Curves from Very Sparse Spot Rates: A Methodology and Examples from the 1920s Canadian Market," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 7(1), pages 1-24, May.
    6. Lin, Bing-Huei, 1999. "Fitting the term structure of interest rates for Taiwanese government bonds," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 331-352, November.
    7. Luca Barzanti & Corrado Corradi, 1999. "A note on direct term structure estimation using monotonic splines," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 22(1), pages 101-108, March.
    8. Cremers, Heinz & Schwarz, Willi, 1996. "Interpolation of discount factors," Frankfurt School - Working Paper Series 2, Frankfurt School of Finance and Management.
    9. Andrea J. Heuson, 1988. "The Term Premia Relationship Implicit In The Term Structure Of Treasury Bills," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 13-20, March.
    10. Schich, Sebastian T., 1996. "Alternative specifications of the German term structure and its information content regarding inflation," Discussion Paper Series 1: Economic Studies 1996,08e, Deutsche Bundesbank.
    11. Barzanti, Luca & Corradi, Corrado, 1998. "A note on interest rate term structure estimation using tension splines," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 139-143, June.
    12. Luis Eduardo Arango & Luis Fernando Melo, 2002. "Estimación de la Estructura a Plazo de las Tasas de Interés en Colombia," Borradores de Economia 2594, Banco de la Republica.
    13. Cuthbertson, Keith, 1996. "The Expectations Hypothesis of the Term Structure: The UK Interbank Market," Economic Journal, Royal Economic Society, vol. 106(436), pages 578-592, May.
    14. Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank, 2001. "The joint estimation of term structures and credit spreads," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 297-323, July.
    15. Oliver Linton & E. Mammen & J. Nielsen & C. Tanggaard, 1998. "Estimating Yield Curves by Kernel Smoothing Methods," Cowles Foundation Discussion Papers 1205, Cowles Foundation for Research in Economics, Yale University.
    16. David Bolder & David Stréliski, 1999. "Yield Curve Modelling at the Bank of Canada," Technical Reports 84, Bank of Canada.
    17. Lutz Kruschwitz, 2018. "Das Problem der Anschlussverzinsung," Schmalenbach Journal of Business Research, Springer, vol. 70(1), pages 9-45, March.
    18. Hervé Alexandre & Maxime Merli, 2003. "Notations et écarts de rentabilité:le marché français avant l'euro," Revue Finance Contrôle Stratégie, revues.org, vol. 6(3), pages 5-22, September.
    19. Jordan, Bradford D. & Jorgensen, Randy D. & Kuipers, David R., 2000. "The relative pricing of U.S. Treasury STRIPS: empirical evidence," Journal of Financial Economics, Elsevier, vol. 56(1), pages 89-123, April.
    20. Ram Bhar & Carl Chiarella, 1996. "Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data," Working Paper Series 70, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:18:y:1996:i:2:p:115-117. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.