Empirical Effectiveness of K0-Yield Curve

Takeaki Kariya and Yoshiro Yamamura ()
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Takeaki Kariya: Hitotsubashi University
Yoshiro Yamamura: Meiji University

Chapter Chapter 5 in Empirically Effective Government and Corporate Bond Pricing Models, 2025, pp 125-155 from Springer

Abstract: Abstract This Chapter is a continuation from Chap. 4, and K0-TSIR model or equivalently K0-YC model in the KGB model class [A] is developed as an empirically effective yield curve derived from coupon GB prices, where K0-YC stands for KGB0 yield curve.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-96-1104-1_5

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DOI: 10.1007/978-981-96-1104-1_5

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