In this paper I examine various extensions of the Nelson and Siegel (1987) model with the
purpose of fitting and forecasting the term structure of interest rates. As expected, I find that …

The Nelson–Siegel model is widely used in practice for fitting the term structure of interest
rates. Due to the ease in linearizing the model, a grid search or an OLS approach using a …

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the
purpose of fitting and forecasting the term structure of interest rates. As expected, I find that …

The B-spline curve fitting technique is one of the most popular empirical methodologies for
estimating the term structure of interest rates, due to its stability and reliability in practical …

In this paper, we estimate the term structure of interest rate volatilities. It is well known that
volatility is the main input for option and other fixed income derivatives valuation models …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

Prices and yields of UK government zero‐coupon bonds are used to test alternative yield
curve estimation models. Zero‐coupon bonds permit a more pure comparison, as the …

This book covers fundamental concepts in financial markets and asset pricing such as
hedging, arbitrage, speculation in different markets, classical models for pricing of simple …

Explains the difference between the Treasury rate and the London Inter-Bank Offer Rate
(LIBOR) and Treasury rates. Importance of risk-free interest rate as a mode of measurement …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …