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Measuring the Term Structure of Interest Rates
549
Citations
0
References
1971
Year
Monetary PolicyEconomicsTerm Structure ModelYield CurveCubic Spline ApproximationEconometricsBusinessBond MarketCurve FittingTerm StructureCurve ModelingSpline (Mathematics)StatisticsFinanceForward Rate
Estimates a yield curve using a cubic spline approximation to the discount function, as described in McCulloch (1971), Measuring the Term Structure of Interest Rates, Journal of Business, vol 44, pp 19-31.(This abstract was borrowed from another version of this item.)