Linearized Nelson–Siegel and Svensson models for the estimation of spot interest rates
Year of publication: |
2012
|
---|---|
Authors: | Gauthier, Geneviève ; Simonato, Jean-Guy |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 219.2012, 2, p. 442-451
|
Publisher: |
Elsevier |
Subject: | Term structure of interest rates | Spot rate curves | Coupon bonds | Prior information | Linearization |
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