Castaño, Rogelio Maldonado; Rueda, Natalia Zapata; … - In: Journal of economics, finance & administrative science 19 (2014) 37, pp. 70-77
The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development … which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead …, making difficult to estimate the future zero-coupon yield curve. Taking into account the importance of having an estimation …
