search query: @indexterm Strategic management / total: 1889
reference: 258 / 1889
| Author: | Ioannides, M. |
| Title: | A comparison of yield curve estimation techniques using UK data |
| Journal: | Journal of Banking and Finance
2003 : JAN, VOL. 27:1, p. 1-26 |
| Index terms: | Bonds Strategic management Interest rates Pricing |
| Language: | eng |
| Abstract: | The author compares different methods of estimating the term structure of interest rates on daily United Kingdom treasury bill and gilt data that spans the period 1995-1999. The study reveals that parsimonious representations of the term structure perform better than their spline counterparts characterised by a linear functional form. This is valid even when abnormal returns are adjusted for market movements. Linear splines overfit the data and are likely to give misleading results. |
SCIMA