Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data
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- Wali Ullah & Yasumasa Matsuda, 2014. "Generalized Nelson-Siegel Term Structure Model : Do the second slope and curvature factors improve the in-sample fit and out-of-sample forecast?," TERG Discussion Papers 312, Graduate School of Economics and Management, Tohoku University.
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KeywordsCoupon-bearing government bond; Zero coupon yield; Piecewise polynomial function;
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