2018
DOI: 10.1002/rfe.1039
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Estimating yield curves of the U.S. Treasury securities: An interpolation approach

Abstract: Following the approach of interpolation, this paper proposes the multiple exponential decay model to fit yield curves for both the U.S. TIPS market and the conventional Treasury security market. Several estimation methods, including the unconstrained/constrained nonlinear minimization, quadratic programming, and the iterative linear least squares, are applied to estimate the unknown parameters according to different curve‐fitting purposes. Comparisons between the proposed model and the alternatives show that t… Show more

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Cited by 3 publications
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