文章基本信息

标题：A note on interest rate term structure estimation by monotonic smoothing splines
作者：Luca Barzanti ; Marcella Corradi
期刊名称：Statistica
印刷版ISSN：1973-2201
出版年度：2001
卷号：61
期号：2
DOI：10.6092/issn.1973-2201/1174
语种：English
出版社：Dep. of Statistical Sciences "Paolo Fortunati", Università di Bologna
摘要：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.