NELSON - SIEGEL MODEL AND SVENSSON MODEL - METHODS OF CONSTRUCTING THE YIELD CURVE Cover Image

METODY KONSTRUKCÍ VÝNOSOVÝCH KŘIVEK - NELSON - SIEGEL MODEL A SVENSSON MODEL
NELSON - SIEGEL MODEL AND SVENSSON MODEL - METHODS OF CONSTRUCTING THE YIELD CURVE

Author(s): Jana Hvozdenská
Subject(s): Methodology and research technology
Published by: Masarykova univerzita
Keywords: parsimonious model; Nelson - Siegel model; Svensson model; bond yield curve;
Summary/Abstract: The article “Nelson - Siegel model and Svensson model - Methods of constructing of the yield curve” deals with the construction of the yield curve by parsimonious models - Nelson -Siegel model and Svensson model. Parsimonious models are described and the benefits of each model are evaluated.