Constructing Czech Risk-Free Yield Curve by Nelson-Siegel and Svensson Method and Their Comparison

被引：1
|
作者：
Hanzal, Martin [1 ]
机构：
[1] Univ Econ, Dept Corp Finance, W Churchill Sq 4, Prague 13067, Czech Republic
来源：
NEW TRENDS IN FINANCE AND ACCOUNTING | 2017年
关键词：
Risk-free yield curve; Nelson-Siegel method; Svensson method; TERM STRUCTURE;
D O I：
10.1007/978-3-319-49559-0_73
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article describes differentiation of risk-free interest rate which is part of discount rate within income methods of assets valuation. The main focus is on two methods-Nelson-Siegel and Svensson-and their application to Czech state bonds. The risk-free yield curve is then created on their basis, and results of these methods are mutually valuated.
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页码：791 / 801
页数：11
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