Zero Coupon Yield Curve Modelling
Zero Coupon Yield Curve Modelling
Estimation of spot rates with the De Rezende-Ferreira 5 Factor model
Estimation of the De Rezende-Ferreira 5 Factor model's parameters with...
Estimation of the De Rezende-Ferreira 5 Factor model's parameters with...
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.