Browsing FGV EESP - Escola de Economia de São Paulo by Author "Bernz, Bruno Müller"

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Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro

Bernz, Bruno Müller
2014-08-11

The traditional representation of the term structure of interest rates in three latent factors (level, slope and curvature) had its original formulation developed by Charles R. Nelson and Andrew F. Siegel in 1987. Since ...