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Term Structure Modeling Using Exponential Splines

OLDRICH A. VASICEK, H. GIFFORD FONG

The Journal of Finance, 1982. DOI 10.2307/2327333

Has this study been replicated?

The atlas records 1 replication of this study. Recorded outcomes: 1 failed. The earliest on record is from 1985.

Replications

• Interest Rate Term Structure Estimation with Exponential Splines: A Note, SHEA (1985). The Journal of Finance. Outcome recorded: failed. exponential spline term structure estimates are no more stable than estimates from a polynomial spline model Outcome read from the abstract. View paper

Cite this record

VASICEK, O. A., & FONG, H. G. (1982). Term Structure Modeling Using Exponential Splines. The Journal of Finance, 37(2), 339–348. Portico. https://doi.org/10.1111/j.1540-6261.1982.tb03555.x

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