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Modelo dinâmico de Nelson Siegel e política econômica
(2018-08-16)
Esse trabalho apresenta análise combinada entre a macroeconomia e a estrutura a termo das taxas de juros, através de duas modelagens distintas. Primeiramente, utiliza-se o modelo Novo Keynesiano de pequeno porte, que é ...
Giving Flexibility to the Nelson-Siegel Class of Term Structure ModelsFlexibilizando os Modelos de Estrutura a Termo da Classe Nelson-Siegel
(Lociedade Brasileira de Finanças, 2011)
Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models
(Scientific Research Publishing, 2017-11)
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve ...
Estratégia de trading utilizando o modelo dinâmico de Nelson-Siegel
(2013-08-21)
Esta pesquisa busca testar a eficácia de uma estratégia de arbitragem de taxas de juros no Brasil baseada na utilização do modelo de Nelson-Siegel dinâmico aplicada à curva de contratos futuros de taxa de juros de 1 dia ...
Bayesian inference for term structure models
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2022-06-09)
We explore recent advances in Bayesian methods in order to estimate the Vasicek, CIR and
dynamic Nelson-Siegel (DNS) models for term structure of interest rates. The models are
specified as state space time series. The ...
Análise estatística do modelo de Nelson e Siegel
(Universidade Federal de São CarlosBRUFSCarPrograma de Pós-Graduação em Estatística - PPGEs, 2013-03-21)
The present paper studies the yield curve, an important tool for financial decisions, due to its fundamental role in the implementation and evaluation of monetary policies by the central banks. It also shows market ...
What Drives the Nominal Yield Curve in Brazil?What Drives the Nominal Yield Curve in Brazil?
(Sociedade Brasileira de Econometria, 2021)
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 ...
Estimation of the yield curve for Costa Rica using combinatorial optimization metaheuristics applied to nonlinear regression
(2020-09-20)
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 ...