Fontanals, Hortènsia; Ruiz, Elisabet; Bolancé, Catalina - Facultat d'Economia i Empresa, Universitat de Barcelona - 2006
In this paper we estimate, analyze and compare the term structures of interest rate in six different countries, during the period 1992-2004. We apply Nelson and Siegel model to obtain them with a weekly frequency. Four European Monetary Union countries, Spain, France, Germany and Italy are...