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Estimación de la Curva de Rendimiento
[Estimating the Yield Curve]

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  • Alfaro, Rodrigo

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.

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File URL: http://mpra.ub.uni-muenchen.de/16499/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 16499.

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Date of creation: 17 Jul 2009
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Handle: RePEc:pra:mprapa:16499

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Related research

Keywords: Nelson-Siegel; Vasicek interest rate model; Yield Curve;

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  1. Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
  2. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
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