Modeling the zero coupon yield curve using the dynamic De Rezende and Ferreira (2011) <doi:10.1002/for.1256> five factor model with variable or fixed decaying parameters. For explanatory purposes, the package also includes various short datasets of interest rates for the BRICS countries.
|Author||Oleksandr Castello [aut, cre] Marina Resta [ctb, cre]|
|Maintainer||Oleksandr Castello <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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