We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions...

The nonparametric censored regression model, with a fixed, known censoring point (normalized to zero), is y=max[0,m(x)+e], where both the regression function m(x) and the distribution of the error e are unknown. This paper provides consistent estimators of m(x) and its derivatives with respect...