DETTE, HOLGER; ZIGGEL, DANIEL - In: International Journal of Theoretical and Applied … 11 (2008) 05, pp. 529-544
In this paper a new method for monotone estimation of discount curves is proposed. The main idea of this approach is a simple modification of the commonly used (unconstrained) McCulloch Spline. We construct an integrated density estimate from the predicted values of the discount curve. It can be...