Nonparametric Smoothing of Yield Curves

@inproceedings{TANGGAARD1995NonparametricSO,
  title={Nonparametric Smoothing of Yield Curves},
  author={CARSTEN TANGGAARD},
  year={1995}
}
  • CARSTEN TANGGAARD
  • Published 1995
This paper proposes a new nonparametric approach to the problem of inferring term structure estimates using coupon bond prices. The nonparametric estimator is defined on the basis of a penalized least squares criterion. The solution is a natural cubic spline, and the paper presents an iterative procedure for solving the non-linear first-order conditions. Besides smoothness, there are no a priori restrictions on the yield curve, and the position of the knots and the optimal smoothness can be… CONTINUE READING
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