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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...
Gorde:
| Argitaratua izan da: | MAGKS - Joint Discussion Paper Series in Economics (Band 39-2018) |
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| Egile Nagusiak: | , |
| Formatua: | Artikulua |
| Hizkuntza: | ingelesa |
| Argitaratua: |
Philipps-Universität Marburg
2018
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| Gaiak: | |
| Sarrera elektronikoa: | PDF testu osoa |
| Etiketak: |
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