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Modeling the term structure of interest rate is very important to macroeconomists and financial market practitioners in general. In this paper, we used the Diebold-Li interpretation to the Nelson Siegel model in order to fit and forecast the Brazilian yield curve. The data consisted of daily...
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El objetivo del presente trabajo es realizar un análisis comparativo entre la metodología comúnmente utilizada por los agentes del mercado local en lo referido a la estimación de Curvas de Rendimiento Cupón Cero (también conocidas como Estructuras Temporales de Tasa de Interés o ETTI),...
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