A note on direct term structure estimation using monotonic splines

Luca Barzanti and Corrado Corradi ()

Decisions in Economics and Finance, 1999, vol. 22, issue 1, 108 pages

Abstract: Con riferimento allaDirect Term Structure Estimation, si propone una parametrizzazione mediantespline monotone come alternativa al tradizionale impiego dei polinomi di Bernstein. La sperimentazione effettuata con dati del Mercato Telematico dei titoli di Stato dimostra l'efficacia del metodo. Copyright Associazione per la Matematica Applicata alle Scienze Economiche e Sociali (AMASES) 1999

Keywords: Direct Term Structure Estimation; monotonic splines (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/BF02912352

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