Add to ORKGThe model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield curve. In this paper we propose a discrete-time version of that model by using dynamic factors, such that the model is dynamic in the sense proposed by Diebold and Li (2006). We found the exact parameters in the VAR model that generates Dynamic-Nelson-Siegel (DNS) which has a strong implication in the time-series properties of the interest rates: those should be model by an ARIMA(2,1,2). Finally we provide empirical evidence of the model for the cases of Chile and US, our finding matches previous results about the non-linear parameter of the model
The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (...
We estimate versions of the Nelson-Siegel model of the yield curve of U.S. government\ud bonds using...
In this paper I discuss the modeling of the yield in discrete time. The popular Nelson-Siegel model ...
The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield...
The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield...
In this paper I discuss the modeling of the yield in discrete time. The popular Nelson-Siegel model ...
The present paper studies the yield curve, an important tool for financial decisions, due to its fun...
In this paper I discuss the modeling of the yield in discrete time. The popular Nelson-Siegel model ...
The dynamic version of the Nelson-Siegel model has shown useful applications in the investment manag...
The dynamic version of the Nelson-Siegel model has shown useful applications in the investment manag...
The dynamic version of the Nelson-Siegel model has shown useful applications in the investment manag...
This paper estimates the zero coupon yield curve for the Peruvian government bond market. We employ ...
This article explains the mathematical and market approaches that were considered for the creation o...
The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (...
Nelson y Siegel (1987) proponen un modelo paramétrico para la curva de rendimiento. Dada la simplici...
The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (...
We estimate versions of the Nelson-Siegel model of the yield curve of U.S. government\ud bonds using...
In this paper I discuss the modeling of the yield in discrete time. The popular Nelson-Siegel model ...
The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield...
The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield...
In this paper I discuss the modeling of the yield in discrete time. The popular Nelson-Siegel model ...
The present paper studies the yield curve, an important tool for financial decisions, due to its fun...
In this paper I discuss the modeling of the yield in discrete time. The popular Nelson-Siegel model ...
The dynamic version of the Nelson-Siegel model has shown useful applications in the investment manag...
The dynamic version of the Nelson-Siegel model has shown useful applications in the investment manag...
The dynamic version of the Nelson-Siegel model has shown useful applications in the investment manag...
This paper estimates the zero coupon yield curve for the Peruvian government bond market. We employ ...
This article explains the mathematical and market approaches that were considered for the creation o...
The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (...
Nelson y Siegel (1987) proponen un modelo paramétrico para la curva de rendimiento. Dada la simplici...
The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (...
We estimate versions of the Nelson-Siegel model of the yield curve of U.S. government\ud bonds using...
In this paper I discuss the modeling of the yield in discrete time. The popular Nelson-Siegel model ...