Search Results for: Testing Term Structure Estimation Methods

This paper tests and compares five distinct methods for estimating the term structure. The Unsmoothed Fama-Bliss method is an iterative method by which the disc

The term structure of default-free interest rates is not directly observable in a market where government obligations of various maturities bear coupons at diff

This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the Universit

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel