A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield cases
The appearance of negative bond yields presents significant challenges for the fixed income markets, which mainly concern related forecasting models. The Nelson-Siegel-Svensson model (NSS) is one of the models that is most frequently used by central banks to estimate the term structure of interest r...
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| Format: | workingPaper |
| Language: | eng |
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2018
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| Online Access: | http://hdl.handle.net/10400.5/16016 |
| Country: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/16016 |