Arbeitspapier
The functional form of yield curves
Yield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yiled curves frequently conform to a specific functional form. This specific functional form is predicted by a particular arbitrage pricing model. The paper also examines the possible interpretations of this phenomenon.
- Language
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Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 148
- Classification
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Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Event
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Geistige Schöpfung
- (who)
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Brousseau, Vincent
- Event
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Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
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Frankfurt a. M.
- (when)
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2002
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Brousseau, Vincent
- European Central Bank (ECB)
Time of origin
- 2002
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Convergence and anchoring of yield curves in the euro area
International effects of a compression of euro area yield curves
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The functional form of yield curves
Yield curve modelling and a conceptual framework for estimating yield curves: Evidence from the European Central Bank's yield curves
Equilibrium yield curves under regime switching
Estimating yield curves by Kernel smoothing methods
Estimating yield curves from swap, BUBOR and FRA data
Determinants of the onshore and offshore Chinese Government yield curves
Convergence and anchoring of yield curves in the euro area
International effects of a compression of euro area yield curves
Functional principal component analysis for derivatives of multivariate curves
Empirical estimation of intraday yield curves on the Italian interbank credit market e-MID
Identification of affine term structure models with observed factors: Economic shocks on Brazilian yield curves
Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan
The functional form of yield curves
Yield curve modelling and a conceptual framework for estimating yield curves: Evidence from the European Central Bank's yield curves
Equilibrium yield curves under regime switching
Estimating yield curves by Kernel smoothing methods
Estimating yield curves from swap, BUBOR and FRA data
Determinants of the onshore and offshore Chinese Government yield curves
Convergence and anchoring of yield curves in the euro area
International effects of a compression of euro area yield curves
Functional principal component analysis for derivatives of multivariate curves
Empirical estimation of intraday yield curves on the Italian interbank credit market e-MID
Identification of affine term structure models with observed factors: Economic shocks on Brazilian yield curves