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.

Package details

AuthorSergio Salvino Guirreri
MaintainerSergio Salvino Guirreri <sergioguirreri@gmail.com>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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YieldCurve documentation built on Oct. 2, 2022, 5:08 p.m.