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Term structure of interest rates: comparison of the Czech Republic and Germany

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F15%3A43930261" target="_blank" >RIV/49777513:23520/15:43930261 - isvavai.cz</a>

  • Result on the web

    <a href="http://mme2015.zcu.cz/conference-proceedings/" target="_blank" >http://mme2015.zcu.cz/conference-proceedings/</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Term structure of interest rates: comparison of the Czech Republic and Germany

  • Original language description

    The aim of the paper is to demonstrate the possibility of using parametric and nonparametric methods for estimating the term structure of interest rates. First, the principles of several yield curves construction are described and later, advantages and disadvantages of parametric models (Nelson-Siegel and Svensson class model) and nonparametric models are presented. The nonparametric methods based on a kernel estimation are emphasized and closely described, demonstrated and analysed. The both methods (parametric and nonparametric) are used to estimate the term structure of interest rates based on the market price of the Czech government bonds and German government bonds.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2015

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    33rd International Conference Mathematical Methods in Economics, MME2015, Conference Proceedings

  • ISBN

    978-80-261-0539-8

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    787-792

  • Publisher name

    University of West Bohemia

  • Place of publication

    Cheb

  • Event location

    Cheb, ČR

  • Event date

    Sep 9, 2015

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000387898900135