This thesis uses Spline-based model, which was developed by McCulloch, and parsimonious model, which was developed by Nelson-Siegel, to estimate the yield curves of zero-coupon bonds in Turkey. In this thesis, we construct the data by using Turkish secondary government zero-coupon bond data, which contain the data from January 2005 to June 2005. After that, relative performances of models are compared using in-sample goodness of fit. As a result, we see that performance of McCulloch model in fitting yield is better than that of Nelson-Siegel model.
| Identifer | oai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12608050/index.pdf |
| Date | 01 December 2006 |
| Creators | Baki, Isa |
| Contributors | Ergenc, Tanil |
| Publisher | METU |
| Source Sets | Middle East Technical Univ. |
| Language | English |
| Detected Language | English |
| Type | M.S. Thesis |
| Format | text/pdf |
| Rights | To liberate the content for public access |
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