Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve

Published Online: Jun 24, 2016

Page range: 42 - 50

Received: Dec 01, 2015

Accepted: Mar 01, 2016

DOI: https://doi.org/10.1515/ngoe-2016-0011

Keywords

Cubic splines, Nelson-Siegel, yield curve, zero-coupon bonds, term structure of interest rates

© 2016

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.