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