Nelson-Siegel model for estimation of term structure of interest rates

Juan Felipe Bedoya Guisao; Luis Fernando Montes Gómez; Horacio Fernández Castaño

Nelson-Siegel model for estimation of term structure of interest rates

Juan Felipe Bedoya Guisao, Luis Fernando Montes Gómez, Horacio Fernández Castaño

Research output: Contribution to journal › Article › peer-review

Abstract

© 2018. This article explains the mathematical and market approaches that were considered for the creation of the model of estimation of the term structure of interest rates. Additionally a methodology is presented by which the model object of study is applied, making use of 7 Colombian public debt securities, finally the conclusions are presented, in which it is emphasized mainly in the scope of the model at issue.

Original language	American English
Journal	Espacios
State	Published - 1 Jan 2018

Access to Document

https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85053273892&origin=inward

Cite this

@article{9a3e6b9b82624c87993d9186d345c05a,

title = "Nelson-Siegel model for estimation of term structure of interest rates",

abstract = "{\textcopyright} 2018. This article explains the mathematical and market approaches that were considered for the creation of the model of estimation of the term structure of interest rates. Additionally a methodology is presented by which the model object of study is applied, making use of 7 Colombian public debt securities, finally the conclusions are presented, in which it is emphasized mainly in the scope of the model at issue.",

author = "{Bedoya Guisao}, {Juan Felipe} and {Montes G{\'o}mez}, {Luis Fernando} and Casta{\~n}o, {Horacio Fern{\'a}ndez}",

year = "2018",

month = jan,

day = "1",

language = "American English",

journal = "Espacios",

issn = "0798-1015",

publisher = "Revista Espacios",

}

TY - JOUR

T1 - Nelson-Siegel model for estimation of term structure of interest rates

AU - Bedoya Guisao, Juan Felipe

AU - Montes Gómez, Luis Fernando

AU - Castaño, Horacio Fernández

PY - 2018/1/1

Y1 - 2018/1/1

N2 - © 2018. This article explains the mathematical and market approaches that were considered for the creation of the model of estimation of the term structure of interest rates. Additionally a methodology is presented by which the model object of study is applied, making use of 7 Colombian public debt securities, finally the conclusions are presented, in which it is emphasized mainly in the scope of the model at issue.

AB - © 2018. This article explains the mathematical and market approaches that were considered for the creation of the model of estimation of the term structure of interest rates. Additionally a methodology is presented by which the model object of study is applied, making use of 7 Colombian public debt securities, finally the conclusions are presented, in which it is emphasized mainly in the scope of the model at issue.

M3 - Article

SN - 0798-1015

JO - Espacios

JF - Espacios

ER -

Nelson-Siegel model for estimation of term structure of interest rates

Abstract

Access to Document

Fingerprint

Cite this