Comparison of Nelson-Siegel and Svensson models in the optimization of yield curves in the Costa-Rican market
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| Autoři: | , , |
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| Médium: | artículo original |
| Stav: | Versión publicada |
| Datum vydání: | 2015 |
| Popis: | 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. |
| Země: | Portal de Revistas UCR |
| Instituce: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| Jazyk: | Inglés |
| OAI Identifier: | oai:archivo.portal.ucr.ac.cr:article/19994 |
| On-line přístup: | https://archivo.revistas.ucr.ac.cr/index.php/cienciaytecnologia/article/view/19994 |
| Klíčové slovo: | non-linear optimization yield curves nelson-siegel model svensson model optimización no lineal curvas de rendimiento modelo de nelson-siegel modelo de svensson |