Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis

In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia...

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Detalles Bibliográficos
Autor Principal: Rodriguez Revilla, Cristhian Andres
Otros Autores: Castro, Carlos
Formato: Tesis de maestría (Master Thesis)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2016
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