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

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Author Info
Alfaro, Rodrigo

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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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Publisher 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;

Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February. [Downloadable!] (restricted)
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  2. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October. [Downloadable!] (restricted)
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This page was last updated on 2009-11-29.

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