Metody konstrukcí výnosových křivek - Nelson - Siegel model a Svensson model

Title in English Nelson - Siegel model and Svensson model - Methods of constructing the yield curve
Authors

HVOZDENSKÁ Jana

Year of publication 2011
Type Article in Proceedings
Conference Evropské finanční systémy 2011
MU Faculty or unit

Faculty of Economics and Administration

Citation
Field Economy
Keywords parsimonious model, Nelson - Siegel model, Svensson model, bond yield curve
Description The article “Nelson - Siegel model and Svensson model - Methods of constructing of the yield curve” deals with the construction of the yield curve by parsimonious models - Nelson - Siegel model and Svensson model. Parsimonious models are described and the benefits of each model are evaluated.

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