Search Results - subject:"the Nelson–Siegel model"

A Factor Model of the Term Structure of Interest Rates and Risk Premium Estimation for Latvia's Money Market

Ajevskis, Viktors; Vitola, Kristine - Latvijas Banka - 2006

Nelson–Siegel model are unobservable therefore the model of this research paper has been estimated using the Kalman filter … the back of the approach used by F. Diebold, G. Rudebusch and B. Aruoba, it has been assumed that the coefficients of the …

Persistent link: https://www.econbiz.de/10005052105

Interest Rate Term Structure in Latvia in the Monetary Policy Context

Zubkova, Jelena - Latvijas Banka - 2003

This paper examines applicability of various models of the yield curve construction to the Latvian money and government securities markets, and analyses the information content implied in the yield curve. The rejection of hypothesis about the existence of a zero risk premium leads to an...

Persistent link: https://www.econbiz.de/10005042607