On the Estimation of Term Structure Models and An Application to the United States.
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-cri...
| Συγγραφή απο Οργανισμό/Αρχή: | |
|---|---|
| Μορφή: | Επιστημονικό περιοδικό |
| Γλώσσα: | English |
| Έκδοση: |
Washington, D.C. :
International Monetary Fund,
2010.
|
| Σειρά: | IMF Working Papers; Working Paper ;
No. 2010/258 |
| Διαθέσιμο Online: | Full text available on IMF |