Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10011285047
Persistent link: https://www.econbiz.de/10009885314
Persistent link: https://www.econbiz.de/10008656633
Persistent link: https://www.econbiz.de/10009772525
Persistent link: https://www.econbiz.de/10003411562
Persistent link: https://www.econbiz.de/10003738774
Persistent link: https://www.econbiz.de/10011296826
Persistent link: https://www.econbiz.de/10011622100
Persistent link: https://www.econbiz.de/10011459035
This paper presents an alternative and simple two-step estimation method for the Nelson-Siegel (NS) yield curve model. It aims to provide smoothed time series of both the decay parameter (λ) and the yield factors. Since the NS model occasionally exhibits some excessive estimates such as jumps...
Persistent link: https://www.econbiz.de/10014349654