Lecture

Estimating the Term Structure: Smoothing Methods

Description

This lecture covers smoothing methods used to estimate a smooth forward curve from market rates, focusing on Nelson-Siegel and Svensson curves. It discusses key criteria for smoothing methods, estimation methods by central banks, and the Hilbert space approach for smoothing splines. The presentation concludes with Lorimier's theorem and the choice of parameter a in smoothing splines.

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