Interest Rate Term Structure Estimation with Exponential Splines: A Note
实证发现，指数样条模型在估计利率期限结构时，并不比多项式样条模型更稳定，且存在数据变换问题与不现实的渐近性质，两者估计结果实质相同。
ABSTRACT Vasicek and Fong [11] developed exponential spline functions as models of the interest rate term structure and claim such models are superior to polynomial spline models. It is found empirically that i) exponential spline term structure estimates are no more stable than estimates from a polynomial spline model, ii) data transformations implicit in the exponential spline model frequently condition the data so that it is difficult to obtain approximations in which one can place confidence, and iii) the asymptotic properties of the exponential spline model frequently are unrealistic. Estimation with exponential splines is no more convenient than estimation with polynomial splines and gives substantially identical estimates of the interest rate term structure as well.