eprintid: 20782
rev_number: 12
eprint_status: archive
userid: 2326
dir: disk0/00/02/07/82
datestamp: 2016-05-25 13:22:30
lastmod: 2016-05-30 09:47:24
status_changed: 2016-05-25 13:22:30
type: workingPaper
metadata_visibility: show
creators_name: Linton, Oliver
creators_name: Mammen, Enno
creators_name: Nielsen, Jens Perch
creators_name: Tanggaard, Carsten
title: Estimating Yield Curves by Kernel Smoothing Methods
subjects: 510
divisions: 110400
abstract: 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.
date: 1998-12-16
publisher: Humboldt-Universität
id_scheme: DOI
id_number: 10.11588/heidok.00020782
schriftenreihe_cluster_id: sr-10a
schriftenreihe_order: 57
ppn_swb: 1656798808
own_urn: urn:nbn:de:bsz:16-heidok-207829
language: eng
bibsort: LINTONOLIVESTIMATING19981216
full_text_status: public
series: Discussion papers of interdisciplinary research project 373
volume: 54
place_of_pub: Berlin
pages: 55
citation:   Linton, Oliver ; Mammen, Enno ; Nielsen, Jens Perch ; Tanggaard, Carsten  (1998) Estimating Yield Curves by Kernel Smoothing Methods.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/20782/1/beitrag.57.pdf