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Estimating Yield Curves by Kernel Smoothing Methods

Linton, Oliver ; Mammen, Enno ; Nielsen, Jens Perch ; Tanggaard, Carsten

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We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approachis nonparametric and does not assume a particular functional form for thediscount function although we do show how to impose various restrictions inthe estimation. Our method is based on kernel smoothing and is defined asthe minimum of some localized population moment condition. The solution tothe sample problem is not explicit and our estimation procedure isiterative, rather like the backfitting method of estimating additivenonparametric models. We establish the asymptotic normality of our methodsusing the asymptotic representation of our estimator as an infinite serieswith declining coefficients. The rate of convergence is standard for onedimensional nonparametric regression.

Item Type: Working paper
Series Name: Discussion papers of interdisciplinary research project 373
Volume: 54
Publisher: Humboldt-Universität
Place of Publication: Berlin
Date Deposited: 25 May 2016 13:22
Date: 16 December 1998
Number of Pages: 55
Faculties / Institutes: The Faculty of Mathematics and Computer Science > Department of Applied Mathematics
Subjects: 510 Mathematics
Schriftenreihe ID: Beiträge zur Statistik > Beiträge
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