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Zaverdinos, 2020 - Google Patents

Nelson-Siegel vs. Constant Spread Bond Price Prediction

Zaverdinos, 2020

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Document ID
6839204036870293497
Author
Zaverdinos M
Publication year

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This thesis contributes to the topic of developing methods for bond price predictions over a time horizon of one to five days. This is done by first representing yields as a term structure of spot rates by introducing an alternative Nelson-Siegel model which includes a linearized …
Continue reading at spectrum.library.concordia.ca (PDF) (other versions)

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