New estimates of the UK real and nominal yield curves

By N. Anderson, J. Sleath. 2001

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Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada (2002, unknown): “The first class of term-structure estimation methods follows from work by Fisher, Nychka, and Zervos (1994), Anderson and Sleath (2001), and Waggoner (1997).”
Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves (2010, unknown): “11 The data are calculated using a so-called variable roughness penalty method (see Anderson and Sleath (1999), (2001)), which is essentially a cubic spline method with a penalty function that results in the smoothness of the curve increasing with maturity.”
Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset (2011, background): “The yield curves described in Gürkaynak, Sack and Wright and Anderson and Sleath (2001), are available on the websites of the Federal Reserve and Bank of England, respectively, and are updated regularly.”
The Financial Market Impact of UK Quantitative Easing (2012, unknown): “See Anderson and Sleath (1999).”