出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：We introduce a new method for the estimation of discount functions, yieldcurves and forward curves from government issued coupon bonds. Ourapproach is nonparametric and does not assume a particular functional formfor the discount function although we do show how to impose variousrestrictions in the estimation. Our method is based on kernel smoothing and isdefined as the minimum of some localized population moment condition. Thesolution to the sample problem is not explicit and our estimation procedure isiterative, rather like the backfitting method of estimating additivenonparametric models. We establish the asymptotic normality of our methodsusing the asymptotic representation of our estimator as an infinite series withdeclining coefficients. The rate of convergence is standard for onedimensional nonparametric regression. We investigate the finite sampleperformance of our method, in comparison with other well-establishedmethods, in a small simulation experiment
关键词：Coupon bonds; kernel estimation; Hilbert space; nonparametric;regression; term structure estimation; yield curve; zero coupon
