Kalman filter estimation of dynamic Nelson-Siegel models for fitting and forecasting the yield curve
Simonin, Piero (A.A. 2012/2013) Kalman filter estimation of dynamic Nelson-Siegel models for fitting and forecasting the yield curve. Tesi di Laurea in Advanced econometrics, LUISS Guido Carli, relatore Giuseppe Ragusa, pp. 81. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
The yield curve's theoretical framework. Preliminary dataset analysis. Dynamic Nelson-Siegel state-space representation. Estimation procedures and empirical results.
References
Bibliografia: pp. 80-81.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Advanced econometrics |
| Thesis Supervisor: | Ragusa, Giuseppe |
| Thesis Co-Supervisor: | Proietti, Tommaso |
| Academic Year: | 2012/2013 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 06 Feb 2014 13:48 |
| Last Modified: | 19 May 2015 23:38 |
| URI: | https://tesi.luiss.it/id/eprint/11047 |
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