Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/49187
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dc.contributor.authorFernández-Rodríguez, Fernando
dc.date.accessioned2018-11-24T05:00:03Z-
dc.date.available2018-11-24T05:00:03Z-
dc.date.issued2006
dc.identifier.issn0021-9398
dc.identifier.urihttp://hdl.handle.net/10553/49187-
dc.description.abstractIn this article a new methodology for estimating the term structure of interest rates is developed. Using polynomial splines, a reliable approximation to term structure may depend crucially upon intelligent selection of numbers and position of spline knots, which can be a combinatorially very complex task. A different approach based on heuristic optimization techniques called genetic algorithms is presented. The optimal spline function takes into account the goodness of fit of the spline function. The new methodology was applied to estimating the term structure using data on zero-coupon Euro market bonds.
dc.publisher0021-9398
dc.relation.ispartofJournal of Business
dc.sourceJournal of Business[ISSN 0021-9398],v. 79, p. 3083-3099
dc.subject.otherExponential Splines
dc.subject.otherApproximation
dc.titleInterest rate term structure modeling using free-knot splines
dc.typeinfo:eu-repo/semantics/Articlees
dc.typeArticlees
dc.identifier.doi10.1086/508009
dc.identifier.scopus33847039555
dc.identifier.isi000243207900012
dc.contributor.authorscopusid6603053452
dc.description.lastpage3099
dc.description.firstpage3083
dc.relation.volume79
dc.type2Artículoes
dc.contributor.daisngid1514720
dc.contributor.wosstandardWOS:Fernandez-Rodriguez, F
dc.date.coverdateNoviembre 2006
dc.identifier.ulpgces
dc.description.jcr0,882
dc.description.jcrqQ3
item.grantfulltextnone-
item.fulltextSin texto completo-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.orcid0000-0002-8808-9286-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNameFernández Rodríguez,Fernando Emilio-
Appears in Collections:Artículos
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