Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil
AbstractWe apply and test term structure fitting models like polynomial splines, flat forward and Nelson-Siegel to the Brazilian local term structure. They are models used all over the world by authorities and financial markets practitioners but less known locally. These models were tested with a large database with all of then presenting some specification problems. These results are similar to Bliss (1997) for US term structure and showed several limitations to the use of these models in the term structure fitting.
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Bibliographic InfoArticle provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its journal Revista Brasileira de Economia.
Volume (Year): 63 (2009)
Issue (Month): 4 (December)
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Other versions of this item:
- Varga, Gyorgy, 2009.
"Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil
[Test of Term Structure Models for Brazil]," MPRA Paper 20832, University Library of Munich, Germany.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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