Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model
By Robert A. Jarrow, David Ruppert, Yan Yu. 2004
65 citations recorded by the source corpus.
Subfields: Finance, Ocean Engineering, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/9bf7b755003baf9471ed096bccd9a90c2b1fbc50
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In Statistics and Probability
- María Durbán
- Paul H. C. Eilers
- Brian D. Marx
- Simon N. Wood
- H. Booth
- Kehui Chen
- Pedro Delicado
- H. Muller
Citations in the corpus
- Twenty years of P-splines (2015, background): “A mirror image of the HFLM is the interest term structure, estimating the expected future course of interest rates; see Jarrow et al. (2004) and Krivobokova et al. (2006).”