Yield Curve Smoothing Models of the Term Structure

28 Pages Posted: 26 May 2003

See all articles by Sattar Mansi

Sattar Mansi

Virginia Polytechnic Institute & State University

George M. Jabbour

George Washington University - Department of Finance

Date Written: July 17, 2002

Abstract

This paper surveys methodologies on the statistical approach to term structure estimation, also known as yield curve smoothing models. Specifically, term structure estimation methods are reviewed to determine the effects of the assumed functional form of the interpolating function and whether the methods' primary assumptions and estimation technique focus on the spot rate function, forward rate function, or discount function. To this end, we discuss the estimation of spot rates from on-the-run Treasuries, the estimation of spot rates, forward rates, and discount factors from all Treasuries, and the estimation of discount factors from Treasury STRIPS. The central papers under each section are described and their results are summarized. Different methodologies on the use of Treasury data are also discussed. Suggestions for future research are provided.

JEL Classification: D4, E4, G1, N2

Suggested Citation

Mansi, Sattar and Jabbour, George M., Yield Curve Smoothing Models of the Term Structure (July 17, 2002). Available at SSRN: https://ssrn.com/abstract=402680 or http://dx.doi.org/10.2139/ssrn.402680

Sattar Mansi (Contact Author)

Virginia Polytechnic Institute & State University ( email )

George M. Jabbour

George Washington University - Department of Finance ( email )

2023 G Street
Washington, DC 20052
United States
202-994-3879 (Phone)

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