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Original scientific paper

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

Fulltext: english, pdf (397 KB) pages 28-40 downloads: 10.311* cite
APA 6th Edition
Aljinović, Z., Poklepović, T. & Katalinić, K. (2012). BEST FIT MODEL FOR YIELD CURVE ESTIMATION. Croatian Operational Research Review, 3 (1), 28-40. Retrieved from 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, no. 1, 2012, pp. 28-40. https://hrcak.srce.hr/96702. Accessed 16 Jun. 2019.
Chicago 17th Edition
Aljinović, Zdravka, Tea Poklepović and Kristina Katalinić. "BEST FIT MODEL FOR YIELD CURVE ESTIMATION." Croatian Operational Research Review 3, no. 1 (2012): 28-40. https://hrcak.srce.hr/96702
Harvard
Aljinović, Z., Poklepović, T., and Katalinić, K. (2012). 'BEST FIT MODEL FOR YIELD CURVE ESTIMATION', Croatian Operational Research Review, 3(1), pp. 28-40. Available at: https://hrcak.srce.hr/96702 (Accessed 16 June 2019)
Vancouver
Aljinović Z, Poklepović T, Katalinić K. BEST FIT MODEL FOR YIELD CURVE ESTIMATION. Croatian Operational Research Review [Internet]. 2012 [cited 2019 June 16];3(1):28-40. Available from: https://hrcak.srce.hr/96702
IEEE
Z. Aljinović, T. Poklepović and K. Katalinić, "BEST FIT MODEL FOR YIELD CURVE ESTIMATION", Croatian Operational Research Review, vol.3, no. 1, pp. 28-40, 2012. [Online]. Available: https://hrcak.srce.hr/96702. [Accessed: 16 June 2019]

Abstracts
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

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