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A comparison of yield curve estimation techniques using UK data

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  • Ioannides, Michalis
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 27 (2003)
    Issue (Month): 1 (January)
    Pages: 1-26

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    Handle: RePEc:eee:jbfina:v:27:y:2003:i:1:p:1-26

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    6. Darrell Duffie & Rui Kan, 1996. "A Yield-Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 6(4), pages 379-406.
    7. Mark Fisher & Douglas Nychka & David Zervos, 1995. "Fitting the term structure of interest rates with smoothing splines," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 95-1, Board of Governors of the Federal Reserve System (U.S.).
    8. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
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    12. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
    13. Amihud, Yakov & Mendelson, Haim, 1991. " Liquidity, Maturity, and the Yields on U.S. Treasury Securities," Journal of Finance, American Finance Association, American Finance Association, vol. 46(4), pages 1411-25, September.
    14. Katz, Eliakim & Prisman, Eliezer Z., 1991. "Arbitrage, Clientele Effects, and the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 26(04), pages 435-443, December.
    15. 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, Cambridge University Press, vol. 19(03), pages 253-269, September.
    16. Bjerring, James H & Lakonishok, Josef & Vermaelen, Theo, 1983. " Stock Prices and Financial Analysts' Recommendations," Journal of Finance, American Finance Association, American Finance Association, vol. 38(1), pages 187-204, March.
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    18. Elton, Edwin J & Gruber, Martin J & Michaely, Roni, 1990. " The Structure of Spot Rates and Immunization," Journal of Finance, American Finance Association, American Finance Association, vol. 45(2), pages 629-42, June.
    19. Ball, Clifford A. & Torous, Walter N., 1983. "Bond Price Dynamics and Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 18(04), pages 517-531, December.
    20. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
    21. Dermody, Jaime Cuevas & Prisman, Eliezer Zeev, 1988. " Term Structure Multiplicity and Clientele in Markets with Transactions Costs and Taxes," Journal of Finance, American Finance Association, American Finance Association, vol. 43(4), pages 893-911, September.
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    25. Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1991. "Cash Stream Valuation In the Face of Transaction Costs and Taxes," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 1(1), pages 31-54.
    26. Chambers, Donald R. & Carleton, Willard T. & Waldman, Donald W., 1984. "A New Approach to Estimation of the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 19(03), pages 233-252, September.
    27. Green, Richard C & Odegaard, Bernt A, 1997. " Are There Tax Effects in the Relative Pricing of U.S. Government Bonds?," Journal of Finance, American Finance Association, American Finance Association, vol. 52(2), pages 609-33, June.
    28. Litzenberger, Robert H & Rolfo, Jacques, 1984. " An International Study of Tax Effects on Government Bonds," Journal of Finance, American Finance Association, American Finance Association, vol. 39(1), pages 1-22, March.
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    Cited by:
    1. Yallup, Peter J., 2012. "Models of the yield curve and the curvature of the implied forward rate function," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(1), pages 121-135.
    2. Emma Berenguer-Carceles & Ricardo Gimeno & Juan M. Nave, 2012. "Estimation of the Term Structure of Interest Rates: Methodology and Applications," Working Papers, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration) 12.06, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
    3. Leo Krippner, 2005. "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics, University of Waikato, Department of Economics 05/02, University of Waikato, Department of Economics.
    4. Manousopoulos, Polychronis & Michalopoulos, Michalis, 2009. "Comparison of non-linear optimization algorithms for yield curve estimation," European Journal of Operational Research, Elsevier, Elsevier, vol. 192(2), pages 594-602, January.
    5. Leo Krippner, 2005. "Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve," Working Papers in Economics, University of Waikato, Department of Economics 05/03, University of Waikato, Department of Economics.
    6. Leo Krippner, 2008. "A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 226, Quantitative Finance Research Centre, University of Technology, Sydney.
    7. Leo Krippner, 2005. "An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics, University of Waikato, Department of Economics 05/01, University of Waikato, Department of Economics.
    8. Fengler, Matthias R. & Hin, Lin-Yee, 2014. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Economics Working Paper Series 1423, University of St. Gallen, School of Economics and Political Science.
    9. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics, University of Waikato, Department of Economics 03/01, University of Waikato, Department of Economics.
    10. Tatyana Krivobokova & Göran Kauermann & Theofanis Archontakis, 2006. "Estimating the term structure of interest rates using penalized splines," Statistical Papers, Springer, Springer, vol. 47(3), pages 443-459, June.

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