Browsing NTNU Handelshøyskolen by Journals "Computational Economics"
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A comparative analysis of parsimonious yield curve models with focus on the Nelson-Siegel, Svensson and Bliss versions
(Peer reviewed; Journal article, 2021)We shed light on computational challenges when fitting the Nelson-Siegel, Bliss and Svensson parsimonious yield curve models to observed US Treasury securities with maturities up to 30 years. As model parameters have a ...