Modelling the yield curve based on a partial conjecture of future yields formatIsbn:Softcover - 9783668387003 Studienarbeit aus dem Jahr 2009

Studienarbeit aus dem Jahr 2009 im Fachbereich Informatik - Programmierung

Wo lagen die Schwächen und die Stärken der Wahlkampfzentren

serving as editors or authors

den tatsächlichen Verhältnissen entsprechendes Bild der Vermögens-

and therefore challenges and invites the reader to study the entire book

Modelling the yield curve based on a partial conjecture of future yields formatIsbn:Softcover - 9783668387003 Studienarbeit aus dem Jahr 2009Bachelor Thesis from the year 2016 in the subject Business economics Operations Research, grade: 8, University of Groningen, language: English, abstract: The reader is introduced to term structure modelling using the Dynamic Nelson Siegel model. Assuming an independent and correlated specification for its factors, we estimate the factor dynamics by maximum likelihood. Additionally, estimation of the factors is done by Kalman filtering. We derive a