Estimating the interest rate term structure of corporate debt with a semiparametric penalized spline model

Journal of the American Statistical Association

Volumn 99, Issue 465, 2004, Pages 57-66

  Jarrow, Robert ^a   Ruppert, David ^b   Yu, Yan ^c  

^a Dyson School of Applied Economics and Management   (United States)

^b School of Chemical and Molecular Engineering   (United States)

^c UNIVERSITY OF CINCINNATI   (United States)

Author keywords

Autocorrelation; Credit spreads; EBBS; Forward rate; GCV; Roughness penalty; Treasury bonds

Indexed keywords

EID: 2142719744     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1198/016214504000000070     Document Type: Article

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