A note on interest rate term structure estimation by monotonic smoothing splines

Luca Barzanti; Corrado Corradi

doi:10.6092/issn.1973-2201/1174

A note on interest rate term structure estimation by monotonic smoothing splines

Authors

Luca Barzanti Alma Mater Studiorum - Università di Bologna
Dipartimento di Matematica per le Scienze Economiche e Sociali
Corrado Corradi Alma Mater Studiorum - Università di Bologna
Dipartimento di Matematica per le Scienze Economiche e Sociali

DOI:

https://doi.org/10.6092/issn.1973-2201/1174

Abstract

A monotone B-spline smoothing method is proposed as an appropriate and flexible tool for estimation of the term structure of interest rates. Numerical experiments with italian bond data demonstrate the effectiveness of the proposed approach.

How to Cite

Barzanti, L., & Corradi, C. (2001). A note on interest rate term structure estimation by monotonic smoothing splines. Statistica, 61(2), 205–212. https://doi.org/10.6092/issn.1973-2201/1174