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183.519  Articles
1 of 18.353 pages  |  10  records  |  more records»
This paper compares the interpolation abilities of nonparametric and parametric term structure models which are widely used by the main Central Banks of the world. Seeking the combination of smoothness and flexibility, a new Nelson-Siegel class model is i... see more

The aim of this work is to establish a term structure of interest rates for corporate bonds in the Brazilian market, using the Nelson-Siegel model (1987). The yield curves were divided by the type of index and the rating level. It was possible to measure ... see more

The focus of the paper is to present a new methodology for forecasting the Term Structure of Interest Rates (ETTJ). The objective is to answer the question: given the ETTJ curve at any given time, what is the ETTJ at a future date? Thus, we seek to constr... see more

This article aims to investigate the relationship between the term structure of interest rates and macroeconomic factors in selected countries of Latin America, such as Brazil, Chile and Mexico, between 2006 and 2014, on an autoregressive vector model. Sp... see more

This paper evaluates methods that employ Kalman Filter to estimate Diebold and Li (2006) extensions in a state-space representation, applying the Nelson and Siegel (1987) function as measure equation and different specifications for the transition equatio... see more

Neste artigo, propomos uma metodologia para a construção da estrutura a termo da taxa de juros livre de risco no Brasil, usando o modelo de Svensson para interpolação e extrapolação das curvas de juros e algoritmos genéticos, em complemento aos algoritmos... see more

The achievement of children's quality of life is undoubtedly linked to the development of positive habits that will continue to be practiced in future lives. This can be done by developing awareness and behavior of a balanced clean and healthy lifestyle. ... see more

This paper estimates the volatility of the Temporary Structure of Interest Rates (ETTI) of the Colombian public debt market and explains its relationship with macroeconomics fundamentals. Starting from the parametric model proposed by Nelson and Siegel (1... see more

El presente artículo hace una comparación entre dos maneras de estimar el spread de los rendimientos de los bonos del gobierno colombiano, como son: la metodología de Nelson & Siegel y una metodología basada en el cálculo del spread a través de la Tasa In... see more

1 of 18.353 pages  |  10  records  |  more records»