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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| Date of creation: | May 2002 |
| Handle: | RePEc:bdr:borrec:210 |
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References listed on IDEAS
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- Luis Eduardo Arango & Luis Fernando Melo, 2002. "Estimación de la Estructura a Plazo de las Tasas de Interés en Colombia," BORRADORES DE ECONOMIA 002594, BANCO DE LA REPÚBLICA.
- Luis Eduardo Arango & Luis Fernando melo & Diego Mauricio Vásquez, 2002. "Estimación de la Estructura a Plazo de las Tasas de Interés en Colombia," Borradores de Economia 196, Banco de la Republica de Colombia.
- Seppälä, Juha & Viertiö, Petri, 1996. "The term structure of interest rates : Estimation and interpretation," Research Discussion Papers 19/1996, Bank of Finland.
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- McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-830, June. Full references (including those not matched with items on IDEAS)
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