Term Structure Fitting and Bond Trading Strategy
碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === This paper uses Nelson & Siegel model, the parsimonious model to fit the term structure in Taiwan bond market. We use the Newton-Gaussian method to estimate parameters of the yield curves. During the observation period, the estimated yield curve had various...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/40001084781214797074 |