Open Science Research Excellence

Blanka Skrabic

Publications

1

Publications

1
3989
Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market
Abstract:
The paper provides a discussion of the most relevant aspects of yield curve modeling. Two classes of models are considered: stochastic and parsimonious function based, through the approaches developed by Vasicek (1977) and Nelson and Siegel (1987). Yield curve estimates for Croatia are presented and their dynamics analyzed and finally, a comparative analysis of models is conducted.
Keywords:
the term structure of interest rates, Vasicek model, Nelson-Siegel model, Croatian Government market.