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- W206601793 abstract "We apply and test term structure fitting models like polynomial splines, flat forward and Nelson-Siegel to the Brazilian local term structure. They are models used all over the world by authorities and financial markets practitioners but less known locally. These models were tested with a large database with all of then presenting some specification problems. These results are similar to Bliss (1997) for US term structure and showed several limitations to the use of these models in the term structure fitting." @default.
- W206601793 created "2016-06-24" @default.
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- W206601793 date "2009-01-01" @default.
- W206601793 modified "2023-09-28" @default.
- W206601793 title "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil [Test of Term Structure Models for Brazil]" @default.
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- W206601793 hasPublicationYear "2009" @default.
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