Yield Curve Estimation by Kernel Smoothing Methods

Oliver Linton, Enno Mammen, J. Nielsen and Carsten Tanggaard
Additional contact information
J. Nielsen: Codan
Carsten Tanggaard: Aarhus School of Business

No 235, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions in the estimation. Our method is based on kernel smoothing and is defined as the minimum of some localized population moment condition. The solution to the sample problem is not explicit and our estimation procedure is iterative, rather like the backfitting method of estimating additive nonparametric models. We establish the asymptotic normality of our methods using the asymptotic representation of our estimator as an infinite series with declining coefficients. The rate of convergence is standard for one dimensional nonparametric regression. We investigate the finite sample performance of our method, in comparison with other well-established methods, in a small simulation experiment.

Date: 2000-08-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://fmwww.bc.edu/RePEc/es2000/0235.pdf main text (application/pdf)

Related works:
Journal Article: Yield curve estimation by kernel smoothing methods (2001)
Working Paper: Yield Curve Estimation by Kernel Smoothing Methods (2000)
Working Paper: Yield curve estimation by kernel smoothing methods (2000)
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:ecm:wc2000:0235

Access Statistics for this paper

More papers in Econometric Society World Congress 2000 Contributed Papers from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().