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Výnosové křivky / Yield Curves

The master thesis is looking into the estimation of yield curve using two ap- proaches. The first one is searching for parametric model which is able to describe the behavior of yield curve well and estimate its parameters. The parametric mo- dels used in the thesis are derived from the class of models introduced by Nelson and Siegel. The second approach is nonparametric estimation of yield curves using spline smoothing and kernel smoothing. All used methods are then compared on real observed data and their suitability for various tasks and concrete available observations is considered. 1

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:408100
Date January 2019
CreatorsKorbel, Michal
ContributorsHurt, Jan, Hlávka, Zdeněk
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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