Estimating the term structure of interest rates using penalized splines

DOI10.1007/s00362-006-0297-8zbMath1126.62099OpenAlexW2065091130MaRDI QIDQ849872

Tatyana Krivobokova, Göran Kauermann, Theofanis Archontakis

Publication date: 14 November 2006

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-006-0297-8

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Bayesian spectral density estimation using P-splines with quantile-based knot placement

Uses Software

• SemiPar

Cites Work

• Nonparametric regression with correlated errors.
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• Smoothing and mixed models
• Flexible term structure estimation: Which method is preferred?
• A Theory of the Term Structure of Interest Rates
• A Note on Penalized Spline Smoothing With Correlated Errors
• Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems
• Semiparametric Regression
• An equilibrium characterization of the term structure
• Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
• Yield curve estimation by kernel smoothing methods