English, Article, Journal or magazine article edition: Flexible Term Structure Estimation: Which Method is Preferable? Thong Nguyen; Andrew Jeffrey; Oliver Linton

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/45381
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Flexible Term Structure Estimation: Which Method is Preferable?
Author
  • Thong Nguyen
  • Andrew Jeffrey
  • Oliver Linton
Physical Description
  • preprint
Notes
  • We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielson and Tanggaard (2000) overall performs notably better than the highly flexible McCulloch (1975) cubic spline and Fama and Bliss (1987) bootstrap methods.  However, if interest is limited to the Treasury bill region alone then the Fama-Bliss method demonstrates superior performance.  We further show, via simulation, that using the estimated short rate from Linton-Mammen-Nielson-Tanggaard procedure as a proxy for the short rate has higher precision than the commonly used proxies of the one and three month Treasury bill rates.  It is demonstrated that this precision is important when using proxies to estimate the stochastic process governing the evolution of the short rate.
  • RePEc:fmg:fmgdps:dp513
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment