Measuring the Term Structure of Interest Rates
AbstractEstimates a yield curve using a cubic spline approximation to the discount function, as described in McCulloch (1971), "Measuring the Term Structure of Interest Rates", Journal of Business, vol 44, pp 19-31.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 44 (1971)
Issue (Month): 1 (January)
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Web page: http://www.journals.uchicago.edu/JB/
Other versions of this item:
- Tom Doan, . "RATS program to estimate term structure with cubic splines," Statistical Software Components RTZ00019, Boston College Department of Economics.
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