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Estimación de la Curva de Rendimiento

Estimating the Yield Curve

Rodrigo Alfaro ()

MPRA Paper from University Library of Munich, Germany

Abstract: 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)
Date: 2009-07-17
New Economics Papers: this item is included in nep-mac
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