We introduce a robust, flexible and easy-to-implement method for estimating the yield curve from Treasury securities. This method is non-parametric and optimally learns basis functions in reproducing Hilbert spaces with an economically motivated smoothness reward. We provide a closed-form...

The correct modeling of the interest rates term structure should definitely be considered an aspect of primary importance since the forward rates and the discount factors used in any financial and risk analysis are calculated from such structure. The turbulence of the markets in recent years,...

Zero coupon rates are not observable in the market for a range of maturities. Therefore, an estimation methodology is required to derive the zero coupon yield curves from observable data. If we deal with approximations of empirical data to create yield curves it is necessary to choose suitable...

Using different econometric models, Diebold and Li (J Econom 130:337-364, 2006) addressed the practical problem of forecasting the yield curve by predicting the factors level, slope and curvature in the Nelson-Siegel framework. This paper has two main aims: on the one hand, to investigate the...