Constrained smoothing B-splines for the term structure of interest rates

dc.creatorLaurini, MP
dc.creatorMoura, M
dc.date2010
dc.dateAPR
dc.date2014-11-17T08:27:50Z
dc.date2015-11-26T17:16:12Z
dc.date2014-11-17T08:27:50Z
dc.date2015-11-26T17:16:12Z
dc.date.accessioned2018-03-29T00:04:24Z
dc.date.available2018-03-29T00:04:24Z
dc.identifierInsurance Mathematics & Economics. Elsevier Science Bv, v. 46, n. 2, n. 339, n. 350, 2010.
dc.identifier0167-6687
dc.identifierWOS:000276698700009
dc.identifier10.1016/j.insmatheco.2009.11.008
dc.identifierhttp://www.repositorio.unicamp.br/jspui/handle/REPOSIP/56846
dc.identifierhttp://www.repositorio.unicamp.br/handle/REPOSIP/56846
dc.identifierhttp://repositorio.unicamp.br/jspui/handle/REPOSIP/56846
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1282228
dc.descriptionThe constrained smoothing B-splines (COBS) is proposed as a nonparametric approach to estimate the term structure of interest rate. Compared to the existing methods in the literature, COBS' main innovation lies in its incorporation of important constraints imposed by no-arbitrage, such as monotonically decreasing and boundary conditions for the discount function, positive forward and spot rates. In addition, by estimating the conditional median function. COBS is less sensible to outliers in reduced samples than other common methods in the literature. Estimation for high and low liquidity markets together with simulation exercises puts COBS in an intermediate position between usual parametric and nonparametric methods in the literature. It has more flexibility than parametric methods and, compared to other nonparametric methods, satisfies no-arbitrage constraints and generates parsimonious shapes of the term structure of interest rates. (C) 2009 Elsevier B.V. All rights reserved.
dc.description46
dc.description2
dc.description339
dc.description350
dc.languageen
dc.publisherElsevier Science Bv
dc.publisherAmsterdam
dc.publisherHolanda
dc.relationInsurance Mathematics & Economics
dc.relationInsur. Math. Econ.
dc.rightsfechado
dc.rightshttp://www.elsevier.com/about/open-access/open-access-policies/article-posting-policy
dc.sourceWeb of Science
dc.subjectTerm structure
dc.subjectNo-arbitrage
dc.subjectInterpolation
dc.subjectSmoothing splines
dc.subjectYield Curve
dc.subjectEquilibrium-model
dc.subjectFinite Number
dc.subjectImmunization
dc.subjectRegression
dc.subjectOption
dc.titleConstrained smoothing B-splines for the term structure of interest rates
dc.typeArtículos de revistas


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