We study the finite-sample properties of some of the standard techniques used to estimate
modern term structure models. For sample sizes and models similar to those used in most …

In the past 10 years, increasingly sophisticated statistical techniques have been applied to
the estimation of increasingly complex models of the term structure of interest rates. In …

Standard approaches to building and estimating dynamic term structure models rely on the
assumption that yields can serve as the factors. However, the assumption is neither …

We show how to price the time series and cross section of the term structure of interest rates
using a three-step linear regression approach. Our method allows computationally fast …

The estimation of dynamic no-arbitrage term structure models with a flexible specification of
the market price of risk is beset by severe small-sample problems arising from the highly …

The affine dynamic term structure model (DTSM) is the canonical empirical finance
representation of the yield curve. However, the possibility that DTSM estimates may be …

Motivated by stylized statistical properties of interest rates, we propose a modeling approach
in which the forward rate curve is described as a stochastic process in a space of curves …

Nearly all studies that analyze the term structure of interest rates take a two-step approach.
First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and …

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the
purpose of fitting and forecasting the term structure of interest rates. As expected, I find that …

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the
purpose of fitting and forecasting the term structure of interest rates. As expected, I find that …