Skip to the main content

Croatian Operational Research Review, Vol. 3 No. 1, 2012.

Original scientific paper

BEST FIT MODEL FOR YIELD CURVE ESTIMATION

Zdravka Aljinović orcid id orcid.org/0000-0002-9133-0149 ; Faculty of Economics, University of Split, Split, Croatia
Tea Poklepović orcid id orcid.org/0000-0002-6279-6070 ; Faculty of Economics, University of Split, Split, Croatia
Kristina Katalinić ; Faculty of Economics, University of Split, Split, Croatia

Full text: english pdf 397 Kb

page 28-40

downloads: 14.838

cite

Abstract

Yield curve represents a relationship between the rate of return and maturity of certain securities. A range of activities on the market is determined by the abovementioned relationship; therefore its
significance is unquestionable. Besides that, its shape reflects the shape of the economy, i.e. it can predict recession. These are the reasons why it is very important to properly and accurately estimate
the yield curve. There are various models evolved for its estimation; however the most used are parametric models: Nelson-Siegel model and Svensson model.
In this paper the yield curves are estimated on Croatian financial market, based on weekly data in years 2011 and 2012 both with Nelson-Siegel and Svensson model, and the obtained results are
compared.

Keywords

yield curve; Nelson-Siegel model; Svensson model; Croatian financial market

Hrčak ID:

96702

URI

https://hrcak.srce.hr/96702

Publication date:

30.12.2012.

Visits: 16.085 *