Interpolation methods

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ashtongate
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Joined: Thu Sep 25, 2008 10:39 am
Location: Washington DC

Interpolation methods

Postby ashtongate » Tue Nov 25, 2008 8:19 am

Does anyone know more details regarding the cubic spline interpolation function on eviews? Is it appropriate for obtaining smooth yield curves? Thanks.
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startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: Interpolation methods

Postby startz » Tue Nov 25, 2008 9:42 am

ashtongate wrote:Does anyone know more details regarding the cubic spline interpolation function on eviews? Is it appropriate for obtaining smooth yield curves? Thanks.

Unless you are mandated to use a cubic spline, I recommend you try a Nelson-Siegel curve. It is easily fit by a regression and has better properties at the long end.
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