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Fitting the term structure of interest rates with smoothing splines. (1995). Fisher, Mark ; Zervos, David ; Nychka, Douglas .
In: Finance and Economics Discussion Series.
RePEc:fip:fedgfe:95-1.

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  2. The incremental information in the yield curve about future interest rate risk. (2023). Christensen, Bent Jesper ; Veliyev, Bezirgen ; Kjar, Mads Markvart.
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  4. Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). LINTON, OLIVER ; la Vecchia, Davide ; Koo, Bonsoo.
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  5. The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper.
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  6. Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information. (2020). Linton, Oliver ; la Vecchia, Davide ; Koo, Bonsoo .
    In: Monash Econometrics and Business Statistics Working Papers.
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  7. Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information. (2019). LINTON, OLIVER ; la Vecchia, D ; Koo, B.
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    In: Journal of Economic Dynamics and Control.
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  11. Exact Smooth Term-Structure Estimation. (2018). Willems, Sander ; Filipovi, Damir.
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  17. The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps. (2014). Obrien, Fergal ; Shaw, Frances ; Murphy, Finbarr.
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  18. Quantitative easing, credibility and the time-varying dynamics of the term structure of interest rate in Japan. (2013). Moussa, Zakaria ; Kagraoka, Yusho .
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  19. Factors causing movements of yield curve in India. (2013). Kanjilal, Kakali.
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  20. Macroeconomic and monetary policy surprises and the term structure of interest rates. (2013). Pericoli, Marcello.
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  21. The yield curve as a leading indicator in economic forecasting in the U.K.. (2012). Zhang, Dalu ; Moffatt, Peter.
    In: University of East Anglia Applied and Financial Economics Working Paper Series.
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  22. Estimation of the Term Structure of Interest Rates: Methodology and Applications. (2012). Gimeno, Ricardo ; Berenguer, Emma ; Berenguer-Carceles, Emma ; Nave, Juan M..
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    RePEc:pab:fiecac:12.06.

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  23. Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data. (2012). Kikuchi, Kentaro ; Shintani, Kohei.
    In: IMES Discussion Paper Series.
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  24. Dynamic Functional Data Analysis with Nonparametric State Space Models.. (2012). Laurini, Márcio.
    In: IBMEC RJ Economics Discussion Papers.
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  25. 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.
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  26. Expected inflation and inflation risk premium in the euro area and in the United States. (2012). Pericoli, Marcello.
    In: Temi di discussione (Economic working papers).
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  27. Real term structure and inflation compensation in the euro area. (2012). Pericoli, Marcello.
    In: Temi di discussione (Economic working papers).
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  28. Quantitative Easing, Credibility and the Time-Varying Dynamics of the Term Structure of Interest rate in Japan. (2010). Moussa, Zakaria ; Kagraoka, Yusho .
    In: Working Papers.
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  31. WHAT MOVES BOND YIELDS IN CHINA?. (2009). Johansson, Anders ; Fan, Longzhen .
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  32. CHINAS OFFICIAL RATES AND BOND YIELDS. (2009). Johansson, Anders ; Fan, Longzhen .
    In: Working Paper Series.
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  33. Teste de Modelos Estatisticos para a Estrutura a Termo no Brasil. (2009). Varga, Gyorgy .
    In: Revista Brasileira de Economia - RBE.
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  34. ISOLATING A MEASURE OF INFLATION EXPECTATIONS FOR THE SOUTH AFRICAN FINANCIAL MARKET USING FORWARD INTEREST RATES. (2009). Reid, Monique.
    In: South African Journal of Economics.
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  35. The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve. (2008). Meeks, Roland ; Bowsher, Clive.
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  36. The dynamics of economics functions: modelling and forecasting the yield curve. (2008). Meeks, Roland ; Bowsher, Clive.
    In: Working Papers.
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  37. Approximating term structure of interest rates using cubic L1 splines. (2008). Lin, Jen-Yen ; Wang, Yong ; Fang, Shu-Cherng ; Chiu, Nan-Chieh ; Lavery, John E..
    In: European Journal of Operational Research.
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  38. Modelling and Forecasting the Yield Curve under Model uncertainty. (2008). Donati, Francesco.
    In: Working Paper Series.
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  39. Giving flexibility to the Nelso-Siegel class of term structure models. (2008). De Rezende, Rafael.
    In: Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting].
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  40. Liquidity-adjusted benchmark yield curves: a look at trading concentration and information. (2007). Sun, David ; Lin, William.
    In: MPRA Paper.
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  41. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
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  42. Term-structure estimation in markets with infrequent trading. (2007). Schwartz, Eduardo S. ; Naranjo, Lorenzo F. ; Cortazar, Gonzalo.
    In: International Journal of Finance & Economics.
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  43. Constrained Smoothing Splines for the Term Structure of Interest Rates. (2007). Moura, Marcelo ; Laurini, Márcio.
    In: Insper Working Papers.
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  44. The U.S. Treasury yield curve: 1961 to the present. (2007). Wright, Jonathan ; Gürkaynak, Refet ; Sack, Brian.
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  45. YIELD CURVE ESTIMATION IN THE ILLIQUID MARKET: FRAMEWORK, MODELS AND EMPIRICAL STUDY. (2006). Xie, Chi ; Yu, Xiang ; Chen, Hui.
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  46. Estimating the term structure of interest rates using penalized splines. (2006). Archontakis, Theofanis ; Krivobokova, Tatyana ; Kauermann, Goran.
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  47. Flexible Term Structure Estimation: Which Method is Preferred?. (2006). LINTON, OLIVER ; Nguyen, Thong ; Jeffrey, Andrew .
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  48. The U.S. Treasury yield curve: 1961 to the present. (2006). Wright, Jonathan ; Gürkaynak, Refet ; Sack, Brian.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-28.

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  49. Estimating time-varying risk premia in UK long-term government bonds. (2004). Steeley, James.
    In: Applied Financial Economics.
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  50. FRS17 and the Sterling Doubles A Corporate Yield Curve. (2004). Skinner, Frank ; Ioannides, Michalis .
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  51. A reconsideration of the risk sensitivity of U.S. banking organization subordinated debt spreads: a sample selection approach. (2004). Hancock, Diana ; Covitz, Daniel M. ; Kwast, Myron L..
    In: Economic Policy Review.
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  52. Monetary policy alternatives at the zero bound: an empirical assessment. (2004). Reinhart, Vincent ; Bernanke, Ben ; Sack, Brian P..
    In: Finance and Economics Discussion Series.
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  53. On the consistency of ratings and bond market yields. (2004). Perraudin, William ; Taylor, Alex P..
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  54. Estimación de la curva de tipos cupón-cero con polinomios de Legendre. (2003). MORINI, S..
    In: Estudios de Economía Aplicada.
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  55. What does the yield on subordinated bank debt measure?. (2003). Hancock, Diana ; Birchler, Urs.
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  56. The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models. (2003). Swanson, Eric ; Gürkaynak, Refet ; Sack, Brian.
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  57. Term structure estimation from on-the-run Treasuries. (2003). Jordan, James V. ; Mansi, Sattar A..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:8:p:1487-1509.

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  58. A comparison of yield curve estimation techniques using UK data. (2003). Ioannides, Michalis .
    In: Journal of Banking & Finance.
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  59. Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data. (2003). Schwartz, Eduardo S. ; Naranjo, Lorezo ; Cortazar, Gonzalo.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
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  60. Credit Spreads and the Treasury Zero Coupon Spot Curve. (2002). Skinner, Frank ; Papageorgiou, Nicholas.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2001-06.

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  61. La curva Spot (Cero Cupón), Estimación con splines cúbicos suavizados, usos y ejemplos.. (2002). Reveiz, Alejandro ; Julio, Juan ; Herault, Alejandro Reveiz ; Mera, Silvia Juliana ; Reveizherault, Alejandro .
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  62. The changing information content of market interest rates. (2002). Sack, Brian ; Reinhart, Vincent.
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  63. La Curva Spot (Cero Cupón) Estimation con Splines Cúbicos Suavizados, Usos y Ejemplos. (2002). Reveiz, Alejandro ; Mera, Silvia ; Julio, Juan.
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  64. The Inflation Premium implicit in the US Real and Nominal. (2001). McCulloch, J. Huston.
    In: Computing in Economics and Finance 2001.
    RePEc:sce:scecf1:210.

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  65. Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible?. (2001). Hancock, Diana ; Kwast, Myron .
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    RePEc:kap:jfsres:v:20:y:2001:i:2:p:147-187.

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  66. Measuring treasury market liquidity. (2001). Fleming, Michael.
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  67. Interpreting the volatility smile: an examination of the information content of option prices. (2001). Weinberg, Steven A..
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  68. Using subordinated debt to monitor bank holding companies: is it feasible?. (2001). Hancock, Diana ; Kwast, Myron L..
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  69. Yield curve estimation by kernel smoothing methods. (2001). Tanggaard, Carsten ; Mammen, Enno ; LINTON, OLIVER ; Nielsen, Jans Perch.
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  70. New estimates of the UK real and nominal yield curves. (2001). Anderson, Nicola ; Sleath, John.
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  71. MODELING THE TERM STRUCTURE FROM THE ON-THE-RUN TREASURY YIELD CURVE. (2001). Phillips, Jeffery H. ; Mansi, Sattar A..
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  72. Term Structure of Interest Rates Changes during International Financial Crisis: The Case of Argentina vs. USA. (2000). Dabós, Marcelo ; Bugallo, Federico ; Dabos, Marcelo .
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  73. How stable is the predictive power of the yield curve? evidence from Germany and the United States. (2000). Rodrigues, Anthony ; Estrella, Arturo ; Schich, Sebastian.
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    RePEc:fip:fednep:y:2000:i:apr:p:129-145:n:v.6no.1.

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