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 nakladatelství
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.
- Page Range: 94-98
- Page Count: 5
- Publication Year: 2011
- Language: Czech
- Content File-PDF