Pregled bibliografske jedinice broj: 415170
Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market
Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market, 2009. (ostali članci/prilozi).
CROSBI ID: 415170 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market
Autori
Aljinović, Zdravka ; Marasović, Branka ; Škrabić, Blanka
Izvornik
International Journal of Business, Economics, Finance and Management Sciences 1, 1 ; 6-10
Vrsta, podvrsta
Ostale vrste radova, ostali članci/prilozi
Godina
2009
Ključne riječi
the term structure of interest rates ; Vasicek model ; Nelson-Siegel model ; Croatian Government market
Sažetak
The paper provides a discussion of the most relevant aspects of yield curve modeling. Two classes of models are considered: stochastic and parsimonious function based, through the approaches developed by Vasicek (1977) and Nelson and Siegel (1987). Yield curve estimates for Croatia are presented and their dynamics analyzed and finally, a comparative analysis of models is conducted.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
POVEZANOST RADA
Projekti:
MZOS-055-0000000-0861 - Financijska politika i financijsko-ekonomski okvir podrške SME (Vidučić, Ljiljana, MZOS ) ( CroRIS)
MZOS-055-0000000-1435 - Matematički modeli u analizi razvoja hrvatskog financijskog tržišta (Aljinović, Zdravka, MZOS ) ( CroRIS)
Ustanove:
Ekonomski fakultet, Split
