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Testing term structure estimation methods: evidence from the UK STRIPS market

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Prices and yields of UK government zero-coupon bonds are used to test alternative yield curve estimation models. Zero-coupon bonds permit a more pure comparison, as the models are providing only the interpolation service and also not making estimation feasible. It is found that better yield curves estimates are obtained by fitting to the yield curve directly rather than fitting first to the discount function. A simple procedure to set the smoothness of the fitted curves is developed, and a positive relationship between over-smoothness and the fitting error is identified. A cubic spline function fitted directly to the yield curve provides the best overall balance of fitting error and smoothness, both along the yield curve and within local maturity regions..Printed journal

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Ketersediaan

Call Number	Location	Available
	PSB lt.dasar - Pascasarjana	1

Penerbit	The Ohio State University.,
Edisi	-
Subjek	Prices Bonds Yield studies Estimating techniques
ISBN/ISSN	222879
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data