Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market-Reference-Cited by-同舟云学术

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Fixed income strategies based on the prediction of parameters in the NS model for the Spanish public debt market

Published:2015-05-20 Issue:2 Volume:6 Page:207-245
ISSN:1869-4187
Container-title:SERIEs
language:en
Short-container-title:SERIEs

Author:

Andrada-Félix Julián,Fernandez-Perez Adrian,Fernández-Rodríguez Fernando

Publisher

Springer Science and Business Media LLC

Subject

General Economics, Econometrics and Finance

Link

http://link.springer.com/content/pdf/10.1007/s13209-015-0123-4.pdf

Reference43 articles.

1. Annaert J, Claes A, de Ceuster M, Zhang H (2013) Estimating the spot rate curve using the Nelson–Siegel model: a ridge regression approach. Int Rev Econ Financ 27:482–496

2. Bank for International Settlements (2005) Zero-coupon yield curves: technical documentation. BIS Paper No. 5, Monetary and Economic Department (Basle)

3. Barrett WR, Gosnell TF Jr, Heuson AJ (1995) Yield curve shifts and the selection of immunization strategies. J Fixed Income 5(2):53–64

4. Bessembinder H (2003) Issues in assessing trade execution costs. J Financ Mark 6:233–257

5. Bolder D, Stréliski D (1999) Yield curve modelling at the Bank of Canada. Bank of Canada, Technical Report No. 84

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1. FORECASTING UKRAINE'S EXTERNAL PUBLIC DEBT UNDER UNCERTAINTY CONDITIONS;Financial and credit activity problems of theory and practice;2023-12-31

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