05/11/2012
Ano: 2007
Código: WPE – 107
Autores/Pesquisadores:
Abstract:
In this article we apply the constrained smoothing b-splines (COBS) to interpolate and construct measures associated with the term structure of interest rates. The COBS method has the useful advantage of incorporating important constraints observed in the term structure such as: monotonicity, non-negative values and robustness related to quantile regression methods. We compare COBS with some usual methods utilized in statistical term structure tting: linear interpolation, smoothing splines and the parametric Nelson-Siegel and Svensson methods. We apply this technique to Brazilian daily term structure data and we show that the constrained smoothing spline is a competitive method to be used in term structure analysis, specially in the case of a low liquidity market like the Brazilian market.
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