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Revisiting the fitting of the Nelson–Siegel and Svensson models - MaRDI portal

Revisiting the fitting of the Nelson–Siegel and Svensson models

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Publication:6618205

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DOI10.1080/02331934.2024.2389242MaRDI QIDQ6618205

Dirk Banholzer, Ralf Werner, Jörg Fliege

Publication date: 14 October 2024

Published in: Optimization (Search for Journal in Brave)

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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