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Emerging markets yield curve dynamics
(2007-12-18)
This work extendes Diebold, Li and Yueís (2006) about global yield curve and proposes to extend the study by including emerging countries. The perception of emerging market su§ers ináuence of external factors or global ...
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 ...
Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro
(2014-08-11)
The traditional representation of the term structure of interest rates in three latent factors (level, slope and curvature) had its original formulation developed by Charles R. Nelson and Andrew F. Siegel in 1987. Since ...