Alfaro, Rodrigo (2009): Estimación de la Curva de Rendimiento. Unpublished.
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In this paper I discuss the modeling of the yield in discrete time. The popular Nelson-Siegel model and the Vasicek-factors model are presented in the same framework then it is simple to compare them.
| Item Type: | MPRA Paper |
|---|---|
| English Title: | Estimating the Yield Curve |
| Language: | Spanish |
| Keywords: | Nelson-Siegel, Vasicek interest rate model, Yield Curve |
| Subjects: | E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Determination of Interest Rates; Term Structure of Interest Rates G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates |
| ID Code: | 16499 |
| Deposited By: | Rodrigo Alfaro |
| Deposited On: | 04. Aug 2009 09:54 |
| Last Modified: | 04. Aug 2009 09:54 |
| References: | Campbell, J., A. Lo and A. MacKinlay (1997) The Econometrics of Financial Markets Princeton University Press. Diebold, F. and C. Li (2006) "Forecasting the term structure of government bond yields" Journal of Econometrics 130:337-64. Nelson, C. and A. Siegel (1987) "Parsimonious Modeling of Yield Curve" The Journal of Business 60(4):473-489. |
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