A estrutura a termo de taxas de juros no Brasil: modelos, estimação e testes

In this paper, we propose a methodology for the construction of the risk-free interest rate term structure in Brazil, using the Svensson model for interpolation and extrapolation of the interest rate curves, and genetic algorithms, in complement to traditional algorithms of nonlinear optimization, f...

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Bibliographic Details
Main Author: Franklin Jr., Sergio L. (author)
Other Authors: Duarte, Thiago B. (author), Neves, César R. (author), Melo, Eduardo F. L. (author)
Format: article
Language:por
Published: 2012
Subjects:
Term structure
Interest rates
Interpolation
Extrapolation
Genetic algorithm
Nelson and Siegel
Svensson
Estrutura a termo
Taxas de juros
Interpolação
Extrapolação
Algoritmo genético
Nelson e Siegel
Online Access:https://doi.org/10.1590/S1413-80502012000200003
Country:Brazil
Oai:oai:revistas.usp.br:article/46201

Internet

https://doi.org/10.1590/S1413-80502012000200003

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