Comparing different methods for the estimation of interbank intraday yield curves
In this paper, we compare three different models, namely the Nelson- Siegel model, the Svensson model and the Diebold- Li model, for the estimation of an intraday yield curve on the Italian interbank credit market e-MID. Using a sample which spans from October 2005 until March 2010, the first import...
Na minha lista:
Publicado no: | MAGKS - Joint Discussion Paper Series in Economics (Band 39-2018) |
---|---|
Autoren: | , |
Formato: | Artigo |
Idioma: | inglês |
Publicado em: |
Philipps-Universität Marburg
2018
|
Assuntos: | |
Acesso em linha: | Texto integral em PDF |
Tags: |
Adicionar Tag
Sem tags, seja o primeiro a adicionar uma tag!
|
MAGKS - Joint Discussion Paper Series in Economics