Estimating term structure of interest rates using genetic algorithms
碩士 === 東吳大學 === 財務工程與精算數學系 === 105 === This research studies the curve-fitting of yield curve via Nelson-Siegel model. The level, slope and curvature of a yield curve can be captured using Nelson-Siegel model. Diebold and Li (2006) justify that the three parameters exhibit the macroeconomic meaning...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/agmq4e |