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...
| 企业作者: | |
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| 格式: | 杂志 |
| 语言: | English |
| 出版: |
Washington, D.C. :
International Monetary Fund,
2010.
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| 丛编: | IMF Working Papers; Working Paper ;
No. 2010/258 |
| 在线阅读: | Full text available on IMF |