{"id":"https://openalex.org/W2013084992","doi":"https://doi.org/10.1146/annurev-financial-022114-112903","title":"Forward Rate Curve Smoothing","display_name":"Forward Rate Curve Smoothing","publication_year":2014,"publication_date":"2014-10-23","ids":{"openalex":"https://openalex.org/W2013084992","doi":"https://doi.org/10.1146/annurev-financial-022114-112903","mag":"2013084992"},"language":"en","primary_location":{"id":"doi:10.1146/annurev-financial-022114-112903","doi":"https://doi.org/10.1146/annurev-financial-022114-112903","is_oa":false,"landing_page_url":"https://doi.org/10.1146/annurev-financial-022114-112903","pdf_url":null,"source":{"id":"https://openalex.org/S4210170931","display_name":"Annual Review of Financial Economics","issn_l":"1941-1367","issn":["1941-1367","1941-1375"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","erih-plus","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320373","host_organization_name":"Annual Reviews","host_organization_lineage":["https://openalex.org/P4310320373"],"host_organization_lineage_names":["Annual Reviews"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annual Review of Financial Economics","raw_type":"journal-article"},"volume":null,"type":"review","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5046533635","display_name":"Robert A. Jarrow","orcid":"https://orcid.org/0000-0001-9893-9611","observed_orcids":["https://orcid.org/0000-0001-9893-9611"]},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]},{"id":"https://openalex.org/I4405274596","display_name":"Kizakura Co., Ltd. (Japan)","ror":"https://ror.org/0204xtx29","country_code":"JP","type":"company","lineage":["https://openalex.org/I4405274596"]}],"countries":["JP","US"],"is_corresponding":true,"raw_author_name":"Robert A. Jarrow","raw_affiliation_strings":["Kamakura Corporation, Honolulu, Hawaii 96815","Samuel Curtis Johnson Graduate School of Management, Cornell University, Ithaca, New York 14853;"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Kamakura Corporation, Honolulu, Hawaii 96815","institution_ids":["https://openalex.org/I4405274596"]},{"raw_affiliation_string":"Samuel Curtis Johnson Graduate School of Management, Cornell University, Ithaca, New York 14853;","institution_ids":["https://openalex.org/I205783295"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5046533635"],"corresponding_institution_ids":["https://openalex.org/I205783295","https://openalex.org/I4405274596"],"apc_list":null,"apc_paid":null,"fwci":0.736,"has_fulltext":false,"cited_by_count":10,"citation_normalized_percentile":{"value":0.73529412,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":96},"biblio":{"volume":"6","issue":"1","first_page":"443","last_page":"458"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.98580002784729,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.98580002784729,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.004699999932199717,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.0013000000035390258,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/term-structure-of-interest-rates","display_name":"term structure of interest rates","score":0.9860000014305115},{"id":"https://openalex.org/keywords/curve-fitting","display_name":"curve fitting","score":0.7730000019073486},{"id":"https://openalex.org/keywords/arbitrage-free-models","display_name":"arbitrage-free models","score":0.875},{"id":"https://openalex.org/keywords/dynamic-term-structure-models","display_name":"dynamic term structure models","score":0.7829999923706055},{"id":"https://openalex.org/keywords/yield-curve","display_name":"yield curve","score":0.6039999723434448}],"concepts":[{"id":"https://openalex.org/C3770464","wikidata":"https://www.wikidata.org/wiki/Q775963","display_name":"Smoothing","level":2,"score":0.8020448684692383},{"id":"https://openalex.org/C128263813","wikidata":"https://www.wikidata.org/wiki/Q6588953","display_name":"Forward rate","level":3,"score":0.582679808139801},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5670665502548218},{"id":"https://openalex.org/C176230804","wikidata":"https://www.wikidata.org/wiki/Q205257","display_name":"Yield curve","level":3,"score":0.5387076139450073},{"id":"https://openalex.org/C184389593","wikidata":"https://www.wikidata.org/wiki/Q603159","display_name":"Curve fitting","level":2,"score":0.5068443417549133},{"id":"https://openalex.org/C26517878","wikidata":"https://www.wikidata.org/wiki/Q228039","display_name":"Key (lock)","level":2,"score":0.45415985584259033},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.4373747408390045},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.4297235906124115},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.40642064809799194},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3955746293067932},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.3655382990837097},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2817193269729614},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2322705090045929},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.1621188521385193},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.08271315693855286},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1146/annurev-financial-022114-112903","doi":"https://doi.org/10.1146/annurev-financial-022114-112903","is_oa":false,"landing_page_url":"https://doi.org/10.1146/annurev-financial-022114-112903","pdf_url":null,"source":{"id":"https://openalex.org/S4210170931","display_name":"Annual Review of Financial Economics","issn_l":"1941-1367","issn":["1941-1367","1941-1375"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","erih-plus","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320373","host_organization_name":"Annual Reviews","host_organization_lineage":["https://openalex.org/P4310320373"],"host_organization_lineage_names":["Annual Reviews"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annual Review of Financial Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:anr:refeco:v:6:y:2014:p:443-458","doi":null,"is_oa":false,"landing_page_url":"http://www.annualreviews.org/doi/abs/10.1146/annurev-financial-022114-112903","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":23,"referenced_works":["https://openalex.org/W192004342","https://openalex.org/W1509423932","https://openalex.org/W1564623819","https://openalex.org/W1885335836","https://openalex.org/W1979540356","https://openalex.org/W2025954182","https://openalex.org/W2035937733","https://openalex.org/W2037490177","https://openalex.org/W2038453980","https://openalex.org/W2047658728","https://openalex.org/W2077252204","https://openalex.org/W2082345084","https://openalex.org/W2103313816","https://openalex.org/W2105886573","https://openalex.org/W2125836937","https://openalex.org/W2145722403","https://openalex.org/W2149946387","https://openalex.org/W2170444200","https://openalex.org/W2490507763","https://openalex.org/W2913650704","https://openalex.org/W3122722073","https://openalex.org/W4234488688","https://openalex.org/W4248311984"],"related_works":["https://openalex.org/W1560250732","https://openalex.org/W4402447774","https://openalex.org/W2071160278","https://openalex.org/W1518433376","https://openalex.org/W7001257933","https://openalex.org/W192004342","https://openalex.org/W2038453980","https://openalex.org/W2154640941","https://openalex.org/W7099194290","https://openalex.org/W1492717335"],"abstract_inverted_index":{"This":[0],"article":[1],"reviews":[2],"the":[3,18,24,30],"forward":[4,58],"rate":[5,59],"curve":[6,20,60],"smoothing":[7],"literature.":[8],"The":[9],"key":[10],"contribution":[11],"of":[12,29,33],"this":[13,38],"review":[14,39],"is":[15],"to":[16,23,43,57],"link":[17],"static":[19],"fitting":[21],"exercise":[22],"dynamic":[25],"and":[26,49],"arbitrage-free":[27],"models":[28],"term":[31],"structure":[32],"interest":[34],"rates.":[35],"As":[36],"such,":[37],"introduces":[40],"more":[41],"economics":[42],"an":[44],"almost":[45],"exclusively":[46],"mathematical":[47],"exercise,":[48],"it":[50],"identifies":[51],"new":[52],"areas":[53],"for":[54],"research":[55],"related":[56],"smoothing.":[61]},"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":2}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
