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

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© 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.

Idioma original	Inglés estadounidense
Publicación	Espacios
Estado	Publicada - 1 ene. 2018

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@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",

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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

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