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

Publié en ligne: 24 juin 2016

Pages: 42 - 50

Reçu: 01 déc. 2015

Accepté: 01 mars 2016

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

Mots clés

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.