TY  - GEN
Y1  - 1998/12/16/
TI  - Estimating Yield Curves by Kernel Smoothing Methods
EP  - 55
A1  - Linton, Oliver
A1  - Mammen, Enno
A1  - Nielsen, Jens Perch
A1  - Tanggaard, Carsten
CY  - Berlin
T3  - Discussion papers of interdisciplinary research project 373
PB  - Humboldt-Universität
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/20782/
AV  - public
ID  - heidok20782
N2  - 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.
ER  -