Yield Curve Fitting and Forecasting with Parametric Models – Empirical Evaluation Based on Polish Money Market Cover Image

Yield Curve Fitting and Forecasting with Parametric Models – Empirical Evaluation Based on Polish Money Market
Yield Curve Fitting and Forecasting with Parametric Models – Empirical Evaluation Based on Polish Money Market

Author(s): Ewa Dziwok
Subject(s): Evaluation research, Financial Markets
Published by: Masarykova univerzita
Keywords: yield curve estimation; multiple criteria decision making;
Summary/Abstract: Among a range of yield curve models are parsimonious methods that become the most popular in countries with well developed debt markets. Since these models let receive the implied forward rate directly they play a crucial role in modern monetary policy. The questions that arise during the modeling process reflect a choice of the best estimation method (the objective function). The solution provided in this paper implements a multiple criteria decision making which through its methodology allows to create an aggregated rating based on different evaluation criteria.

  • Page Range: 166-172
  • Page Count: 7
  • Publication Year: 2014
  • Language: English