Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines

Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines

The Nelson–Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for sen...

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Bibliographic Details
Main Authors: Eduardo Mineo, Airlane Pereira Alencar, Marcelo Moura, Antonio Elias Fabris
Format: Article
Language:English
Published: MDPI AG 2020-04-01
Series:Journal of Risk and Financial Management
Subjects:
interest rates
yeld curve
no-arbitrage
bonds
B-splines
time series
Online Access:https://www.mdpi.com/1911-8074/13/4/65

Internet

https://www.mdpi.com/1911-8074/13/4/65

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