New estimates of the UK real and nominal yield curves
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References listed on IDEAS
- Martin D. D. Evans, 1998. "Real Rates, Expected Inflation, and Inflation Risk Premia," Journal of Finance, American Finance Association, vol. 53(1), pages 187-218, February.
- Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
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"Measuring the Term Structure of Interest Rates,"
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University of Chicago Press, vol. 44(1), pages 19-31, January.
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- Mark Fisher & Douglas Nychka & David Zervos, 1995. "Fitting the term structure of interest rates with smoothing splines," Finance and Economics Discussion Series 95-1, Board of Governors of the Federal Reserve System (US).
- Daniel F. Waggoner, 1997. "Spline methods for extracting interest rate curves from coupon bond prices," FRB Atlanta Working Paper 97-10, Federal Reserve Bank of Atlanta.
- Mark Deacon & Andrew Derry, 1994. "Deriving Estimates of Inflation Expectations from the Prices of UK Government Bonds," Bank of England working papers 23, Bank of England.
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-EEC-2001-10-01 (European Economics)
- NEP-FMK-2001-10-01 (Financial Markets)
- NEP-MON-2004-11-07 (Monetary Economics)
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