Constructing Czech Risk-Free Yield Curve by Nelson-Siegel and Svensson Method and Their Comparison

Martin Hanzal ()
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Martin Hanzal: University of Economics

Chapter Chapter 73 in New Trends in Finance and Accounting, 2017, pp 791-801 from Springer

Abstract: Abstract This article describes differentiation of risk-free interest rate which is part of discount rate within income methods of assets valuation. The main focus is on two methods—Nelson-Siegel and Svensson—and their application to Czech state bonds. The risk-free yield curve is then created on their basis, and results of these methods are mutually valuated.

Keywords: Risk-free yield curve; Nelson-Siegel method; Svensson method (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-49559-0_73

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DOI: 10.1007/978-3-319-49559-0_73

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