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Mostrando ítems 11-20 de 259
What Drives the Nominal Yield Curve in Brazil?What Drives the Nominal Yield Curve in Brazil?
(Sociedade Brasileira de Econometria, 2021)
A segmented and observable Yield Curve
(2019-11-01)
Following Almeida et al. (2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term inter-bank rates for Colombia. The flexible estimation for ...
Vantagens e desvantagens do modelo dinâmico de Nelson-Siegel: aplicação ao mercado brasileiro
(2015-08-24)
Modeling the term structure of interest rates has high relevance to the financial market, due to the fact of its utilization for pricing bonds and derivatives, being a fundamental component in the economic policies and ...
Estimación de la tasa de interés de largo plazo y pasivo pensional para el caso colombiano
(Universidad EAFITEconomíaEscuela de Economía y Finanzas. Departamento de Economía., 2017)
Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica
(Universidad ESAN. ESAN EdicionesPE, 2016-12-01)
Calibration of the Nelson-Siegel (NS) model to adjust to sovereign yield curves has been found to be problematic since the model exhibits a correlation between its factors, and generates objective functions with local ...
Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica
(Universidad ESAN. ESAN EdicionesPE, 2016-12-01)
Calibration of the Nelson-Siegel (NS) model to adjust to sovereign yield curves has been found to be problematic since the model exhibits a correlation between its factors, and generates objective functions with local ...
A segmented Nelson and Siegel model for the term structure of interest rates
(Universidad del RosarioMaestría en Finanzas CuantitativasFacultad de Economía, 2019)
Estimation of the yield curve for Costa Rica using metaheuristic optimization
(2017-06-30)
The term structure of interest rates or yield curve is a function relating the interest rate with its own term. Nonlinear regression models of Nelson-Siegel and Svensson were used to estimate the yield curve using a sample ...