Presentation of Degree Project E
- Date: –12:00
- Lecturer: Zhe Huang
- Contact person: Rolf Larsson
Fitting Yield Curve with Dynamic Nelson-Siegel Models: Evidence from Sweden
Abstract: In many financial areas, one class of the most widely used models to estimate the yield curve are the Nelson-Siegel models. Although there is a vast of papers about the Nelson-Siegel model and its empirical study, they seldom focus on Swedish data. Hence, this project attempts to find appropriate models for the Swedish treasury bill and government bond yields.