Estimación de la Curva de Rendimiento

Alfaro, Rodrigo (2009): Estimación de la Curva de Rendimiento.

Abstract

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 - Interest Rates: Determination, Term Structure, and Effects; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates

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.