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YieldCurve: Modelling and Estimation of the Yield Curve
Modelling the yield curve with some parametric models. The models implemented are: Nelson, C.R., and A.F. Siegel (1987) <doi: 10.1086/296409>, Diebold, F.X. and Li, C. (2006) <doi: 10.1016/j.jeconom.2005.03.005> and Svensson, L.E. (1994) <doi: 10.3386/w4871>. The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.
Getting started
Browse package contents
Package details |
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| Author | Sergio Salvino Guirreri |
| Maintainer | Sergio Salvino Guirreri <sergioguirreri@gmail.com> |
| License | GPL (>= 2) |
| Version | 5.1 |
| Package repository | View on CRAN |
| Installation |
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