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...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2014
- Institución:
- Universidad de Medellín
- Repositorio:
- Repositorio UDEM
- Idioma:
- eng
- OAI Identifier:
- oai:repository.udem.edu.co:11407/1381
- Acceso en línea:
- http://hdl.handle.net/11407/1381
- Palabra clave:
- Dynamic estimation
Kalman filter
Term structure
- Rights
- restrictedAccess
- License
- http://purl.org/coar/access_right/c_16ec