Fitting The Term Structure of Interest Rates With Smoothing Splines
SSRN Electronic JournalPublished 18 October 2000Open access
Mark Fisher, Douglas Nychka, David Zervos
Citations135
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TL;DR
This work describes a technique for fitting the term structure of interest rates using smoothing splines, which incorporate a "roughness" penalty, and uses generalized cross validation to choose adaptively the penalty and hence the effective number of parameters.
Abstract
Interest rates
Keywords
Economics, Econometrics and Finance