Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filter

The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead, making difficult to estimate the future zero-coupon yiel...

Full description

Autores:

Maldonado Castaño, Rogelio
Zapata Rueda, Natalia
Pantoja Robayo, Javier Orlando

Tipo de recurso:

Fecha de publicación:

2014

Institución:

Universidad EAFIT

Repositorio:

Repositorio EAFIT

Idioma:

eng

OAI Identifier:

oai:repository.eafit.edu.co:10784/7623

Acceso en línea:

http://hdl.handle.net/10784/7623

Palabra clave:

Term structure
Kalman filter
Dynamic estimation

Rights

License

openAccess