Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 1

Publications

1 Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market

Authors: Branka Marasovic, Zdravka Aljinović, Blanka Škrabić

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.

Keywords: Nelson-Siegel Model, the term structure of interest rates, Vasicek model, Croatian Government market

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1194