The termstructure of interest rates is an instrument that gives us the necessary information for valueing deterministic financial cash flows, measuring the economic market expectations and testing the effectiveness of monetary policy decissions. However, it is not directly observable and needs...

The term structure of interest rates is an instrument that gives us the necessary information for valuing deterministic financial cash flows, measuring the economic market expectations and testing the effectiveness of monetary policy decisions. However, it is not directly observable and needs to...

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...

This paper aims to serve two purposes. First, we provide information on the Turkish lira (TL) corporate bond market, which has developed rapidly in the last couple of years. Second and more prominently, we estimate the yield curve for corporate bonds in Turkey using the Nelson Siegel...

We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielsen, and Tanggaard (2000) overall performs notably better than the highly flexible McCulloch (1975) cubic spline and Fama and Bliss (1987) bootstrap...

In this paper, we compare three different models, namely the Nelson-Siegel model, the Svensson model and the Diebold-Li model, for the estimation of an intraday yield curve on the Italian interbank credit market e-MID. Using a sample which spans from October 2005 until March 2010, the first...

The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed,...