Estimating term structure using nonlinear splines: A penalized likelihood approach

Business & Economics

• Splines 92%
• Forward Rates 89%
• Coupons 81%
• Term Structure 75%
• Yield Curve 71%
• Information Criterion 65%
• Discount 54%
• Smoothing Splines 27%
• Model Selection 26%
• Spline Regression 26%
• Nonlinear Regression 23%
• Functional Form 18%
• Monte Carlo Simulation 13%
• B-spline 13%
• Akaike Information Criterion 11%
• Bond Prices 10%
• Term Structure of Interest Rates 10%
• Smoothing 9%
• Present Value 9%
• Placement 9%
• Maximum Likelihood 8%
• Penalty 7%
• Cash Flow 7%
• Nature 7%
• Coefficients 6%
• Simulation 5%

Mathematics

• Term Structure 100%
• Penalized Likelihood 87%
• Discount 64%
• Spline 64%
• Basis Functions 54%
• Information Criterion 52%
• Curve 42%
• Regression Splines 28%
• Zero 21%
• Knot 18%
• Smoothing Splines 17%
• Nonlinear Regression 16%
• Model Selection 13%
• Model 13%
• Estimate 12%
• Term Structure of Interest Rates 11%
• Regression 10%
• Penalized Regression 9%
• Akaike Information Criterion 8%
• Spline Functions 8%
• Smoothing Parameter 8%
• Dependent Data 8%
• Placement 8%
• Instantaneous 7%
• B-spline 7%
• Penalty 6%
• Minor 6%
• Maximum Likelihood 6%
• Monte Carlo Simulation 6%
• Likelihood 6%
• Smoothness 5%
• Form 5%
• Valid 5%
• Unknown 4%
• Simulation 4%
• Range of data 4%
• Relationships 4%
• Term 3%
• Coefficient 3%

Engineering & Materials Science

• Splines 68%
• Maximum likelihood 4%
• Set theory 2%