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

Pubblicato online: 24 giu 2016

Pagine: 42 - 50

Ricevuto: 01 dic 2015

Accettato: 01 mar 2016

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

Parole chiave

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.