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...
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ndltd-TW-093NTU053040462015-12-21T04:04:14Z http://ndltd.ncl.edu.tw/handle/40001084781214797074 Term Structure Fitting and Bond Trading Strategy 利率期限結構之估計與債券交易策略 Lai Yen-Ru 賴彥汝 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 shapes. Nelson & Siegel model could describe the shapes of yield curves: monotonic, humped and S-shaped and is consistent with the real market. In addition, this paper will develop some trading strategies to examine whether Nelson & Siegel model could be a powerful tool to estimate the term structure interest rate in Taiwan bond market 李存修 2005 學位論文 ; thesis 41 en_US |
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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 shapes. Nelson & Siegel model could describe the shapes of yield curves: monotonic, humped and S-shaped and is consistent with the real market. In addition, this paper will develop some trading strategies to examine whether Nelson & Siegel model could be a powerful tool to estimate the term structure interest rate in Taiwan bond market
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李存修 |
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李存修 Lai Yen-Ru 賴彥汝 |
author |
Lai Yen-Ru 賴彥汝 |
spellingShingle |
Lai Yen-Ru 賴彥汝 Term Structure Fitting and Bond Trading Strategy |
author_sort |
Lai Yen-Ru |
title |
Term Structure Fitting and Bond Trading Strategy |
title_short |
Term Structure Fitting and Bond Trading Strategy |
title_full |
Term Structure Fitting and Bond Trading Strategy |
title_fullStr |
Term Structure Fitting and Bond Trading Strategy |
title_full_unstemmed |
Term Structure Fitting and Bond Trading Strategy |
title_sort |
term structure fitting and bond trading strategy |
publishDate |
2005 |
url |
http://ndltd.ncl.edu.tw/handle/40001084781214797074 |
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