Testing Term Structure Estimation Methods: Evidence from the UK STRIPS Market
利用英国政府零息债券价格数据，比较不同收益率曲线估计模型，发现直接拟合收益率曲线比先拟合贴现函数效果更好，并开发了设定曲线平滑度的简单方法。
Prices and yields of UK government zero‐coupon bonds are used to test alternative yield curve estimation models. Zero‐coupon bonds permit a more pure comparison, as the models are providing only the interpolation service and also not making estimation feasible. It is found that better yield curves estimates are obtained by fitting to the yield curve directly rather than fitting first to the discount function. A simple procedure to set the smoothness of the fitted curves is developed, and a positive relationship between over‐smoothness and the fitting error is identified. A cubic spline function fitted directly to the yield curve provides the best overall balance of fitting error and smoothness, both along the yield curve and within local maturity regions.