We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielson and Tanggaard (2000) overall performs notably better than the highly flexible McCulloch (1975) cubic spline and Fama and Bliss (1987) bootstrap...

We show the recently developed nonparametric procedure for fitting the term structure interest rates developed by Linton, Mammen, Nielsen, and Tanggaard (2000) overall performs notably better than the highly felxible McCulloch (1975) cubic spline and Fama and Bliss (1987) bootstrap methods....