We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is non-parametric and does not assume particular functional form for the discount function although we do show how to impose various restrictions...

We consider a semiparametric distributed lag model in which the quot;news impact curvequot; m is nonparametric but the response is dynamic through some linear filters. A special case of this is a nonparametric regression with serially correlated errors. We propose an estimator of the news impact...