An Assessment of Estimates of Term Structure Models for the United States /
The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then presents e...
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| Formaat: | Tijdschrift |
| Taal: | English |
| Gepubliceerd in: |
Washington, D.C. :
International Monetary Fund,
2011.
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| Reeks: | IMF Working Papers; Working Paper ;
No. 2011/247 |
| Online toegang: | Full text available on IMF |