Nelson-Siegel model for estimation of term structure of interest rates

Resultado de la investigación: Contribución a una revistaArtículo

Resumen

© 2018. This article explains the mathematical and market approaches that were considered for the creation of the model of estimation of the term structure of interest rates. Additionally a methodology is presented by which the model object of study is applied, making use of 7 Colombian public debt securities, finally the conclusions are presented, in which it is emphasized mainly in the scope of the model at issue.
Idioma originalInglés estadounidense
PublicaciónEspacios
EstadoPublicada - 1 ene 2018

Huella dactilar

Term structure of interest rates
Nelson-Siegel model
Methodology
Public debt

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title = "Nelson-Siegel model for estimation of term structure of interest rates",
abstract = "{\circledC} 2018. This article explains the mathematical and market approaches that were considered for the creation of the model of estimation of the term structure of interest rates. Additionally a methodology is presented by which the model object of study is applied, making use of 7 Colombian public debt securities, finally the conclusions are presented, in which it is emphasized mainly in the scope of the model at issue.",
author = "{Bedoya Guisao}, {Juan Felipe} and {Montes G{\'o}mez}, {Luis Fernando} and Casta{\~n}o, {Horacio Fern{\'a}ndez}",
year = "2018",
month = "1",
day = "1",
language = "American English",
journal = "Espacios",
issn = "0798-1015",
publisher = "Revista Espacios",

}

Nelson-Siegel model for estimation of term structure of interest rates. / Bedoya Guisao, Juan Felipe; Montes Gómez, Luis Fernando; Castaño, Horacio Fernández.

En: Espacios, 01.01.2018.

Resultado de la investigación: Contribución a una revistaArtículo

TY - JOUR

T1 - Nelson-Siegel model for estimation of term structure of interest rates

AU - Bedoya Guisao, Juan Felipe

AU - Montes Gómez, Luis Fernando

AU - Castaño, Horacio Fernández

PY - 2018/1/1

Y1 - 2018/1/1

N2 - © 2018. This article explains the mathematical and market approaches that were considered for the creation of the model of estimation of the term structure of interest rates. Additionally a methodology is presented by which the model object of study is applied, making use of 7 Colombian public debt securities, finally the conclusions are presented, in which it is emphasized mainly in the scope of the model at issue.

AB - © 2018. This article explains the mathematical and market approaches that were considered for the creation of the model of estimation of the term structure of interest rates. Additionally a methodology is presented by which the model object of study is applied, making use of 7 Colombian public debt securities, finally the conclusions are presented, in which it is emphasized mainly in the scope of the model at issue.

M3 - Article

JO - Espacios

JF - Espacios

SN - 0798-1015

ER -