Michael Schürle

University of St. Gallen - School of Finance

Unterer Graben 21

St.Gallen, CH-9000

Switzerland

  • University of St. Gallen - School of Finance

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A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Models

University of St.Gallen, School of Finance Research Paper No. 2020/06
Number of pages: 58 Posted: 20 Jul 2020 Last Revised: 21 Jan 2021
Ranik Raaen Wahlstrøm, Florentina Paraschiv and Michael Schürle
Norwegian University of Science and Technology (NTNU) - NTNU Business School, Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School and University of St. Gallen - School of Finance
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Abstract:

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Parsimonious yield curve models, Term structure, Monetary policy decisions, Non-linear least squares, Initial values