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Estimación de la Estructura a Plazos de las Tasas de Interés en Colombia por Medio del Método de Funciones B-Spline Cúbicas

Author

Listed:
  • Diego Mauricio Vásuez

  • Luis Fernando Melo

Abstract

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.

Suggested Citation

  • Diego Mauricio Vásuez & Luis Fernando Melo, 2002. "Estimación de la Estructura a Plazos de las Tasas de Interés en Colombia por Medio del Método de Funciones B-Spline Cúbicas," Borradores de Economia 210, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:210
    DOI: 10.32468/be.210
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    References listed on IDEAS

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    4. Luis Eduardo Arango & Luis Fernando Melo & Diego Mauricio V�squez, 2003. "Estimación de la estructura a plazo de las tasas de interés en Colombia," Coyuntura Económica, Fedesarrollo, vol. 33(1), pages 51-76.
    5. Luis Eduardo Arango & Luis Fernando Melo, 2002. "Estimaci�n de la Estructura a Plazo de las Tasas de Inter�s en Colombia," Borradores de Economia 2594, Banco de la Republica.
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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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