Comparison of Nelson-Siegel and Svensson models in the optimization of yield curves in the Costa-Rican market
সংরক্ষণ করুন:
| লেখক: | , , |
|---|---|
| বিন্যাস: | artículo original |
| বর্তমান অবস্থা: | Versión publicada |
| প্রকাশনার তারিখ: | 2015 |
| বিবরন: | In a study of optimization of yield curves for zero-‐‑coupon and forward rates, we compare the Nelson-‐‑Siegel and Svensson models for a set of observed prices of bonds of Government of Costa Rica. In both models the problem consists of fitting the yield curve and selecting sub-‐‑optimal parameters of functions in a non-‐‑linear family. We obtain better results using the Nelson-‐‑Siegel model, despite the fact that the Svensson model is a generalization of the former. We discuss the method, some results obtained and an implementation of these methods in the Costa-‐‑Rican stock-‐‑ exchange market. |
| দেশ: | Portal de Revistas UCR |
| প্রতিষ্ঠান: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| ভাষা: | Inglés |
| OAI Identifier: | oai:archivo.portal.ucr.ac.cr:article/19994 |
| অনলাইন ব্যবহার করুন: | https://archivo.revistas.ucr.ac.cr/index.php/cienciaytecnologia/article/view/19994 |
| মুখ্য শব্দ: | non-linear optimization yield curves nelson-siegel model svensson model optimización no lineal curvas de rendimiento modelo de nelson-siegel modelo de svensson |