Linton, Oliver; Mammen, Enno; Nielsen, Jens Perch; … - Suntory and Toyota International Centres for Economics … - 2000
We introduce a new method for the estimation of discount functions, yield curves and forward curves from government … although we do show how to impose various restrictions in the estimation. Our method is based on kernel smoothing and is … our estimation procedure is iterative, rather like the backfitting method of estimating additive nonparametric models. We …