A note on direct term structure estimation using monotonic splines
AbstractCon riferimento allaDirect Term Structure Estimation, si propone una parametrizzazione mediantespline monotone come alternativa al tradizionale impiego dei polinomi di Bernstein. La sperimentazione effettuata con dati del Mercato Telematico dei titoli di Stato dimostra l'efficacia del metodo. Copyright Associazione per la Matematica Applicata alle Scienze Economiche e Sociali (AMASES) 1999
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Bibliographic InfoArticle provided by Springer in its journal Rivista di matematica per le scienze economiche e sociali.
Volume (Year): 22 (1999)
Issue (Month): 1 (March)
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- 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(03), pages 253-269, September.
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