Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds
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- Mark Deacon & Andrew Derry, 1994. "Estimating the Term Structure of Interest Rates," Bank of England working papers 24, Bank of England.
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- Leo Krippner, 2003. "Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach," Working Papers in Economics 03/02, University of Waikato.
- Victor A. Lapshin & Vadim Ya. Kaushanskiy, 2014. "A Nonparametric Method For Term Structure Fitting With Automatic Smoothing," HSE Working papers WP BRP 39/FE/2014, National Research University Higher School of Economics.
- Magdalena Massot Perelló & Juan M. Nave Pineda, 2003. "La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 533-564, September.
- Wolfgang K. Härdle & Piotr Majer, 2016.
"Yield curve modeling and forecasting using semiparametric factor dynamics,"
The European Journal of Finance,
Taylor & Francis Journals, vol. 22(12), pages 1109-1129, September.
- Wolfgang Karl HÃ¤rdle,Piotr Majer & Melanie Schienle, 2012. "Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2012-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Chiu, Nan-Chieh & Fang, Shu-Cherng & Lavery, John E. & Lin, Jen-Yen & Wang, Yong, 2008. "Approximating term structure of interest rates using cubic L1 splines," European Journal of Operational Research, Elsevier, vol. 184(3), pages 990-1004, February.
- J. Hirschberg & J. Lye & D.J. Slottje, 2005. "Alernative Forms for Restricted Regressions," Department of Economics - Working Papers Series 954, The University of Melbourne.
- Emma Berenguer-Carceles & Ricardo Gimeno & Juan M. Nave, 2012. "Estimation of the Term Structure of Interest Rates: Methodology and Applications," Working Papers 12.06, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
- Patrick Hagan & Graeme West, 2006. "Interpolation Methods for Curve Construction," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(2), pages 89-129.
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