Term structure of interest rates estimation using rational Chebyshev functions

Polychronis Manousopoulos () and Michalis Michalopoulos

Decisions in Economics and Finance, 2015, vol. 38, issue 2, 119-146

Abstract: We present a novel method for modeling yield curves using rational Chebyshev functions. Our motivation is based on both their suitable mathematical properties as well as their successful application record, mainly in nonfinancial areas. We provide an interpretation of the proposed model in terms of a level–slope–curvature perspective, and we indicate methods for identifying the model’s parameters based on this interpretation. We present the results of in-sample and out-of-sample tests of the proposed model in comparison with popular parsimonious models. The tests indicate that the proposed model is competitive in terms of its performance as well as its properties. Copyright Springer-Verlag Italia 2015

Keywords: Yield curve; Term structure of interest rates; Rational Chebyshev functions; C51; E43; G12 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s10203-014-0161-6 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:decfin:v:38:y:2015:i:2:p:119-146

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10203/PS2

DOI: 10.1007/s10203-014-0161-6

Access Statistics for this article

Decisions in Economics and Finance is currently edited by Paolo Ghirardato

More articles in Decisions in Economics and Finance from Springer, Associazione per la Matematica
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().