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

Izvorni znanstveni članak

BEST FIT MODEL FOR YIELD CURVE ESTIMATION

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

Puni tekst: engleski, pdf (397 KB) str. 28-40 preuzimanja: 9.773* citiraj
APA 6th Edition
Aljinović, Z., Poklepović, T. i Katalinić, K. (2012). BEST FIT MODEL FOR YIELD CURVE ESTIMATION. Croatian Operational Research Review, 3 (1), 28-40. Preuzeto s https://hrcak.srce.hr/96702
MLA 8th Edition
Aljinović, Zdravka, et al. "BEST FIT MODEL FOR YIELD CURVE ESTIMATION." Croatian Operational Research Review, vol. 3, br. 1, 2012, str. 28-40. https://hrcak.srce.hr/96702. Citirano 16.02.2019.
Chicago 17th Edition
Aljinović, Zdravka, Tea Poklepović i Kristina Katalinić. "BEST FIT MODEL FOR YIELD CURVE ESTIMATION." Croatian Operational Research Review 3, br. 1 (2012): 28-40. https://hrcak.srce.hr/96702
Harvard
Aljinović, Z., Poklepović, T., i Katalinić, K. (2012). 'BEST FIT MODEL FOR YIELD CURVE ESTIMATION', Croatian Operational Research Review, 3(1), str. 28-40. Preuzeto s: https://hrcak.srce.hr/96702 (Datum pristupa: 16.02.2019.)
Vancouver
Aljinović Z, Poklepović T, Katalinić K. BEST FIT MODEL FOR YIELD CURVE ESTIMATION. Croatian Operational Research Review [Internet]. 2012 [pristupljeno 16.02.2019.];3(1):28-40. Dostupno na: https://hrcak.srce.hr/96702
IEEE
Z. Aljinović, T. Poklepović i K. Katalinić, "BEST FIT MODEL FOR YIELD CURVE ESTIMATION", Croatian Operational Research Review, vol.3, br. 1, str. 28-40, 2012. [Online]. Dostupno na: https://hrcak.srce.hr/96702. [Citirano: 16.02.2019.]

Sažetak
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.

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

Hrčak ID: 96702

URI
https://hrcak.srce.hr/96702

Posjeta: 10.004 *