Kladívko, Kamil - In: Czech Journal of Economics and Finance (Finance a uver) 60 (2010) 4, pp. 307-335
The author estimates the Czech Treasury yield curve at a daily frequency from 1999 to the present. He uses the parsimonious yield curve model of Nelson and Siegel (1987), for which he suggests a parameter restriction that avoids abrupt changes in parameter estimates and thus allows for the...