Using a novel no‐arbitrage model and extensive second‐moment data, we decompose
conditional volatility of US Treasury yields into volatilities of short‐rate expectations and term …

The constrained smoothing B-splines (COBS) is proposed as a nonparametric approach to
estimate the term structure of interest rate. Compared to the existing methods in the …

This paper analyses the India sovereign yield to find out the principal factors affecting the
term structure of interest rate changes. We apply Principal Component Analysis (PCA) on …

We study the joint behavior of the yield and volatility curves in the US Treasury market.
Using almost two decades of high-frequency bond data, we obtain a so far unexplored view …

This study examines whether information on the yield curve is useful for predicting volatility
of the yield curve. The information is used within dynamic models by specifying the …

Evidence of predictability of financial time series along with recent advances in modeling
time dependent conditional variance clearly call for incorporating such theory into …

For the upcoming Solvency II framework, the Smith-Wilson method constitutes the
extrapolation technique for valuing long-term liabilities. Next to the Smith-Wilson method this …

Riassunto Con riferimento alla Direct Term Structure Estimation, si propone una
parametrizzazione mediante spline monotone come alternativa al tradizionale impiego dei …

La nota sinretizza i risultati di una sperimentazione numerica relativa al confronto fra diversi
metodi di stina della struttura per scadenza dei tassi di interesse basati …