Yield curving modelling and estimation
The remainder of this paper is organized as follows. As a first step, we discuss the most relevant interest rate models mentioned in the literature. We then pass onto discussing the most relevant estimation methods found in the literature and choose two of them to test empirically. Finally we draw c...
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| Formato: | Tesis de maestría acceptedVersion |
| Lenguaje: | Inglés |
| Publicado: |
Universidad Torcuato Di Tella
2017
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| Acceso en línea: | http://repositorio.utdt.edu/handle/utdt/2001 |
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| Sumario: | The remainder of this paper is organized as follows. As a first step, we discuss the most relevant interest rate models mentioned in the literature. We then pass onto discussing the most relevant estimation methods found in the literature and choose two of them to test empirically. Finally we draw conclusions on the results considering the theoretical background. |
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