Presentation of Degree Project E

  • Date: –12:00
  • Lecturer: Zhe Huang
  • Contact person: Rolf Larsson
  • Seminarium

Fitting Yield Curve with Dynamic Nelson-Siegel Models: Evidence from Sweden

The presentation will take place on Zoom.

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.