Estimation of the term structure of interest rates: an international perspective

The overall objective of this paper is to introduce a new methodology of fitting the term structure of interest rates or zero-coupon yield curves. Toward this end, Chebyshev polynomials are incorporated into a quantity called the interest cumulator and then subjected to a minimization procedure to y...

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Veröffentlicht in:	Journal of multinational financial management 1998-09, Vol.8 (2), p.265-283
1. Verfasser:	Pham, Toan M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Bonds Chebyshev Economic theory Empirical research Financial models Interest rates Methodology Statistics Term structure Yield curve
Online-Zugang:	Volltext
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