@article{Exponentials:921,
      recid = {921},
      author = {Bolder, David and Gusba, Scott},
      title = {Exponentials, Polynomials, and Fourier Series: More Yield  Curve Modelling at the Bank of Canada},
      publisher = {Bank of Canada},
      address = {2002},
      pages = {1 online resource (viii, 81 pages)},
      abstract = {This paper continues the work started by Bolder and  Stréliski (1999) and considers two alternative classes of  models for extracting zero-coupon and forward rates from a  set of observed Government of Canada bond and treasury-bill  prices. The first class of term-structure estimation  methods follows from work by Fisher, Nychka, and Zervos  (1994), Anderson and Sleath (2001), and Waggoner (1997).  This approach employs a B-spline basis for the space of  cubic splines to fit observed coupon-bond prices—as a  consequence, we call these the spline-based models. This  approach includes a penalty in the generalized  least-squares objective function—following from Waggoner  (1997)—that imposes the desired level of smoothness into  the term structure of interest rates. The second class of  methods is called function-based and includes variations on  the work of Li et al. (2001), which uses linear  combinations of basis functions, defined over the entire  term-to-maturity spectrum, to fit the discount function.  This class of function-based models includes the model  proposed by Svensson (1994). In addition to a comprehensive  discussion of these models, the authors perform an  extensive comparison of these models' performance in the  Canadian marketplace.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/921},
      doi = {https://doi.org/10.34989/swp-2002-29},
}