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

Author

Listed:
  • Alfaro, Rodrigo

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.

Suggested Citation

  • Alfaro, Rodrigo, 2009. "Estimación de la Curva de Rendimiento [Estimating the Yield Curve]," MPRA Paper 16499, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:16499
    as

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    File URL: https://mpra.ub.uni-muenchen.de/16499/1/MPRA_paper_16499.pdf
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    References listed on IDEAS

    as
    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.
    2. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Nelson-Siegel; Vasicek interest rate model; Yield Curve;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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