Castro Iragorri, Carlos Alberto; Peña, Juan Felipe; … - In: Journal of central banking theory and practice 10 (2021) 2, pp. 179-200
Following (Almeida, Ardison, Kubudi, Simonsen, & Vicente, 2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term interbank rates for Colombia. The flexible estimation for each segment (short, medium, and long)...
