Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-Coupon Yield Curve

Naše gospodarstvo/Our economy
doi 10.1515/ngoe-2016-0011
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Walter de Gruyter GmbH

Related search

Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson-Siegel Model

SSRN Electronic Journal
2010English

Zero–Coupon Yields Estimated by Zero–Degree Splines

SSRN Electronic Journal
2018English

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

SSRN Electronic Journal
2007English

A Shape-Based Decomposition of the Yield Adjustment Term in the Arbitrage-Free Nelson and Siegel (AFNS) Model of the Yield Curve

Applied Financial Economics
2014English

Nelson-Siegel Model Approach to the Euro Area Yield Curves

Lietuvos statistikos darbai
2017English

Analyzing Oil Futures With a Dynamic Nelson-Siegel Model

Journal of Futures Markets
ManagementFinanceBusinessEconomicsAccountingEconometrics
2015English

Cubic Splines.

FASEB Journal
BiochemistryBiotechnologyGeneticsMolecular BiologyMedicine
1988English

Bayesian Inference Applied to Dynamic Nelson-Siegel Model With Stochastic Volatility

Brazilian Review of Econometrics
2010English

Endpoint Formulas for Interpolatory Cubic Splines

Mathematics of Computation
Computational MathematicsApplied MathematicsNumber TheoryAlgebra
1972English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2025 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy