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Flexible Term Structure Estimation: Which Method is Preferred?. (2006). LINTON, OLIVER ; Nguyen, Thong ; Jeffrey, Andrew .
In: Metrika: International Journal for Theoretical and Applied Statistics.
RePEc:spr:metrik:v:63:y:2006:i:1:p:99-122.

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Cited: 9

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Cites: 11

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Cocites: 50

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  1. Reconstructing the yield curve. (2021). Wu, Jing Cynthia ; Liu, Yan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:142:y:2021:i:3:p:1395-1425.

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  2. Reconstructing the Yield Curve. (2020). Wu, Jing Cynthia ; Liu, Yan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27266.

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  3. Estimating Chinese Treasury yield curves with Bayesian smoothing splines. (2018). Tong, Xiaojun ; Sun, Dongchu ; He, Zhuoqiong Chong.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:8:y:2018:i:c:p:94-124.

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  4. The performance of deterministic and stochastic interest rate risk measures:. (2014). Oliveira, Luis ; Malcato, Luis ; Nunes, Joo Vidal .
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:13:y:2014:i:3:p:141-165.

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  5. The determinants of sovereign credit spread changes in the Euro-zone. (2012). Nunes, Joo Pedro ; Oliveira, Lus ; Curto, Jos Dias .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:2:p:278-304.

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  6. Term structure of volatilities and yield curve estimation methodology. (2010). Jareño, Francisco ; Diaz, Antonio ; Jareno, Francisco ; Navarro, Eliseo .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2010:i:4:p:573-586.

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  7. The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve. (2008). Meeks, Roland ; Bowsher, Clive.
    In: Economics Papers.
    RePEc:nuf:econwp:0805.

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  8. The dynamics of economics functions: modelling and forecasting the yield curve. (2008). Meeks, Roland ; Bowsher, Clive.
    In: Working Papers.
    RePEc:fip:feddwp:0804.

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  9. Examining the Nelson-Siegel Class of Term Structure Models. (2007). De Pooter, Michiel.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070043.

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References

References cited by this document

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  2. Italian Government debt liquidity, is it of value?. (2014). Maggi, Bernardo ; delle Chiaie, Simona.
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