IDEAS home Printed from https://ideas.repec.org/a/ucp/jnlbus/v79y2006i6p3083-3100.html
   My bibliography  Save this article

Interest Rate Term Structure Modeling Using Free-Knot Splines

Author

Listed:
  • Fernando Fernández-Rodríguez

    (University of Las Palmas de Gran Canaria)

Abstract

In this article a new methodology for estimating the term structure of interest rates is developed. Using polynomial splines, a reliable approximation to term structure may depend crucially upon intelligent selection of numbers and position of spline knots, which can be a combinatorially very complex task. A different approach based on heuristic optimization techniques called genetic algorithms is presented. The optimal spline function takes into account the goodness of fit of the spline function. The new methodology was applied to estimating the term structure using data on zero-coupon Euro market bonds.

Suggested Citation

  • Fernando Fernández-Rodríguez, 2006. "Interest Rate Term Structure Modeling Using Free-Knot Splines," The Journal of Business, University of Chicago Press, vol. 79(6), pages 3083-3100, November.
  • Handle: RePEc:ucp:jnlbus:v:79:y:2006:i:6:p:3083-3100
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1086/508009
    File Function: main text
    Download Restriction: Access to the online full text or PDF requires a subscription.

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

    Citations

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


    Cited by:

    1. Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.

    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:ucp:jnlbus:v:79:y:2006:i:6:p:3083-3100. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division). General contact details of provider: http://www.journals.uchicago.edu/JB/ .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.