Fitting The Term Structure of Interest Rates With Smoothing Splines

By Mark Fisher, D. Nychka, David Zervos. 2000

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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).”
The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve (2008, methodology): “Both Fisher, Nychka, and Zervos (1995) and Waggoner (1997) used smoothing splines to penalize large variations in the estimated forward rate curve that can result from overfitting: however, Waggoner (1997, p. 14) concluded that the results produced by the procedure of McCulloch (1975) were very…”
Estimating the Interest Rate Term Structure of Corporate Debt With a Semiparametric Penalized Spline Model (2004, background): “…is voluminous (see McCulloch 1971, 1975; Vasicek and Fong 1982; Shea 1985; Chambers, Carleton, and Waldman 1984; Adams and Van Deventer 1994; Fisher, Nychka, and Zervos 1995), the literature studying corporate term structure estimation is much smaller (see Schwartz 1998 and references…”
Estimating option implied risk‐neutral densities using spline and hypergeometric functions (2007, unknown): “Fisher et al. (1995) gives a rigorous de nition of the e¤ective number of parameters of the regression.”