Šopov, Boril; Seidler, Jakub - In: Prague Economic Papers 2011 (2011) 2, pp. 140-156
In this paper, we focus on thorough yield curve modelling. We build on extended classical Nelson-Siegel model, which we further develop to accommodate unobserved regional common factors. We centre our discussion on Central European currencies´ yield curves: CZK, HUF, PLN and SKK. We propose a...