On the Estimation of Term Structure Models and An Application to the United States

On the Estimation of Term Structure Models and An Application to the United States
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by READ MORE...

Publication date: November 2010
ISBN 9781455209583
$18.00

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