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
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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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
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e-ISSN
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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