Yield curve estimation by spline-based models

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2006

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Baki, İsa

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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.

Subject Keywords

Numerical Analysis.

URI

http://etd.lib.metu.edu.tr/upload/12608050/index.pdf
https://hdl.handle.net/11511/16201

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Graduate School of Applied Mathematics, Thesis

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Citation Formats

İ. Baki, “Yield curve estimation by spline-based models,” M.S. - Master of Science, Middle East Technical University, 2006.