Estimación de la Estructura a Plazos de las Tasas de Interés en Colombia por Medio del Método de Funciones B-Spline Cúbicas
En este documento se presenta la descripción y resultados de la estimación de la estructura a plazos de las tasas de interés en Colombia utilizando el método de funciones B-spline cúbicas. Adicionalmente se llevan a cabo comparaciones entre los resultados obtenidos a través de esta metodología y los presentados por Arango, Melo y Vásquez (2002) respecto a los métodos de Nelson y Siegel, y de la Bolsa de Valores de Colombia. Se obeserva que el desempeño del método de estimación de funciones B-spline cúbicas es similar al de Nelson y Siegel y estos dos métodos superan al de la Bolsa de Valores de Colombia.
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| Handle: | RePEc:bdr:borrec:210 |
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References listed on IDEAS
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