The objective of this paper is to estimate Serbian benchmark spot curves using the Svensson parametric model. The main …

interest rates. In the practicalpart three models including the Nelson/Siegel and the Svensson approach, and a spline model …

The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and … not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization …

statistical techniques. Adjusting parsimonious functional forms - as proposed by Nelson and Siegel (1987) and Svensson (1994) - is …