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- W2364349854 abstract "Zero-coupon bond yield curve is the basis of term structure of interest rates.It plays an important role in financial pricing and risk management.Considering the frequency of interest payment and the situation of sampling date between interest payment dates,the general process of constructing the zero coupon bond yield curve is given based on polynomial spline functions.In response to the problem that the regression coefficients are not significant,a model excluding not-significant variables is given.The applicability of the two methods to determine the spline knots is discussed as well as the stability of the model.Using the bond data from Shanghai Stock Exchange,the empirical analysis shows that the cubic spline model with three knots excluding not-significant variables is more accurate and closer to the reality in China." @default.
- W2364349854 created "2016-06-24" @default.
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- W2364349854 date "2011-01-01" @default.
- W2364349854 modified "2023-09-23" @default.
- W2364349854 title "Zero-Coupon Bond Yield Curve in China Based on Polynomial Spline Functions" @default.
- W2364349854 hasPublicationYear "2011" @default.
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