The Predictability in the Shape of the Term Structure of Interest Rates: Empirical Study in Taiwan Government Bonds
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 94 === In this paper, we employ the Nelson-Siegel model to fit Taiwan’s term structure of interest rates. The changes in the parameters reflect the changes in the shape of term structure of interest rates. Therefore, we use time series analysis to predict the change i...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/snxs3t |