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Comparative analysis of zero coupon yield curve estimation methods using JGB price data

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Comparative analysis of zero coupon yield curve estimation methods using JGB price data

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Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data

Kikuchi, Kentaro; Shintani, Kohei - Institute for Monetary and Economic Studies, Bank of Japan - 2012

This paper conducts a comparative analysis of the diverse methods for estimating the Japanese government bond (JGB) zero coupon yield curve (hereafter, zero curve) according to the criteria that estimation methods should meet. Previous studies propose many methods for estimating the zero curve...

Persistent link: https://www.econbiz.de/10010542144