Pregled bibliografske jedinice broj: 626050
Application of the Nelson Siegel Yield Curve Model in an Illiquid and Undeveloped Financial Market
Application of the Nelson Siegel Yield Curve Model in an Illiquid and Undeveloped Financial Market // WDSI 42nd Annual Meeting Proceedings / Bilici, H. (ur.).
Long Beach (CA): WDSI, 2013. (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
CROSBI ID: 626050 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Application of the Nelson Siegel Yield Curve Model in an Illiquid and Undeveloped Financial Market
Autori
Zoričić, Davor ; Orsag, Silvije
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
WDSI 42nd Annual Meeting Proceedings
/ Bilici, H. - Long Beach (CA) : WDSI, 2013
Skup
42nd Annual Meeting
Mjesto i datum
Long Beach (CA), Sjedinjene Američke Države, 26.03.2013. - 29.03.2013
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
yield curve modeling; Nelson Siegel model; illiquid and undeveloped financial market
Sažetak
This paper examines the possibility of applying the Nelson Siegel yield curve model in the Croatian financial market. In such an illiquid and undeveloped financial market yield curve modeling presents a special challenge primarily regarding the available market data. The use of the model is limited compared to the developed markets and the interpretation of the resulting yield curve requires much more cautiousness. However this paper clearly shows that the yield curve model is able to capture changes in the business cycle according to the macroeconomic theory and therefore provide valuable information to the financial industry and other economic subjects.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
POVEZANOST RADA
Projekti:
067-0000000-1498 - Liberalizacija kapitalnog računa Hrvatske u procesu pristupanja Europskoj Uniji (Šohinger, Jasminka, MZOS ) ( CroRIS)
Ustanove:
Ekonomski fakultet, Zagreb
