A segmented Nelson and Siegel model for the term structure of interest rates

In the present academic work we implement the Nelson and Siegel Segmented Model (2017) in order to predict the structure of interest rates. On the other hand we compare the performance of the Segmented model with the Nelson and Siegel Classic model. The present work was done with daily data Colombia...

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Detalles Bibliográficos
Autor Principal: Peña Rojas, Juan Felipe
Otros Autores: Castro, Carlos
Formato: Tesis de maestría (Master Thesis)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2019
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/19126