Publicação
Fitting the yield curve
| dc.contributor.advisor | Leiria, Paulo | |
| dc.contributor.author | Bilhastre, Ângela Germano | |
| dc.date.accessioned | 2013-05-06T13:29:24Z | |
| dc.date.available | 2013-05-06T13:29:24Z | |
| dc.date.issued | 2009-06 | |
| dc.description | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | por |
| dc.description.abstract | This paper is concerned with the fitting of the yield curve in order to achieve a continuous term structure of interest rates by applying two methods: the cubic polynomial spline by McCulloch (1975), and the Nelson-Siegel-Svensson (1994). Subsequently, a trading model is used to make sensitivity analysis decisions on whether to buy or sell a bond (reach/cheap analysis). Finally, with the purpose of forecasting future yields, out-of-sample forecasts are calculated for the parameters of the Nelson-Siegel-Svensson. | por |
| dc.identifier.uri | http://hdl.handle.net/10362/9456 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | no | por |
| dc.publisher | NSBE - UNL | por |
| dc.subject | Fitting | por |
| dc.subject | Yield curve | por |
| dc.subject | McCulloch | por |
| dc.subject | Nelson-Siegel-Svensson | por |
| dc.title | Fitting the yield curve | por |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | masterThesis | por |