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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| Định dạng: | Tạp chí |
| Ngôn ngữ: | English |
| Được phát hành: |
Washington, D.C. :
International Monetary Fund,
2011.
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| Loạt: | IMF Working Papers; Working Paper ;
No. 2011/247 |
| Truy cập trực tuyến: | Full text available on IMF |