Yield curve estimation by spline-based models

Baki, İsa
This thesis uses Spline-based model, which was developed by McCulloch, and parsimonious model, which was developed by Nelson-Siegel, to estimate the yield curves of zero-coupon bonds in Turkey. In this thesis, we construct the data by using Turkish secondary government zero-coupon bond data, which contain the data from January 2005 to June 2005. After that, relative performances of models are compared using in-sample goodness of fit. As a result, we see that performance of McCulloch model in fitting yield is better than that of Nelson-Siegel model.
Citation Formats
İ. Baki, “Yield curve estimation by spline-based models,” M.S. - Master of Science, Middle East Technical University, 2006.