Estimación de la Curva de Rendimiento
Estimating the Yield Curve
Rodrigo Alfaro ()
MPRA Paper from University Library of Munich, Germany
In this paper I discuss the modeling of the yield in discrete time. The popular Nelson-Siegel model and the Vasicek-factors model are presented in the same framework then it is simple to compare them.
Keywords: Nelson-Siegel; Vasicek interest rate model; Yield Curve (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:16499
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