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Measuring the Term Structure of Interest Rates

1971; University of Chicago Press; Volume: 44; Issue: 1 Linguagem: Inglês

10.1086/295329

1537-5374

J. Huston McCulloch,

Economic Theory and Policy

Estimates a yield curve using a cubic spline approximation to the discount function, as described in McCulloch (1971), Measuring the Term Structure of Interest Rates, Journal of Business, vol 44, pp 19-31.(This abstract was borrowed from another version of this item.)