Giving Flexibility To The Nelson-Siegel Class Of Term Structure Models

This paper compares the interpolation abilities of nonparametric and parametric term structure models which are widely used by the main Central Banks of the world. Seeking the combination of smoothness and flexibility, a new Nelson-Siegel class model is introduced. It emerges as an extension of the...

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Detaylı Bibliyografya
Yayımlandı:Revista Brasileira de Finanças
Yazar: Rafael B. de Rezende
Materyal Türü: Artigo
Dil:Inglês
Baskı/Yayın Bilgisi: Sociedade Brasileira de Finanças 2011
Konular:
Administración y Contabilidad
Nelson
Spot curve
forward curve
Siegel models
smoothing spline
Online Erişim:https://www.redalyc.org/articulo.oa?id=305824898002
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