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Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market
Abstract:The paper provides a discussion of the most relevant aspects of yield curve modeling. Two classes of models are considered: stochastic and parsimonious function based, through the approaches developed by Vasicek (1977) and Nelson and Siegel (1987). Yield curve estimates for Croatia are presented and their dynamics analyzed and finally, a comparative analysis of models is conducted.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1331331Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1188
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