Estimating yield curve the Svensson extended model using L-BFGS-B method approach
Penulis/Author
MUSLIM (1); Prof. Dr.rer.nat. Dedi Rosadi, S.Si.,, M.Sc. (2); Prof. Dr. Drs. Gunardi, M.Si. (3); Prof. Dr. Abdurakhman, S.Si., M.Si. (4)
Tanggal/Date
5 2015
Kata Kunci/Keyword
Abstrak/Abstract
Yield curve is curves that describe the magnitude of the yield against maturity. To describe this curve, we use the Svensson model. One extension of this model is Rezende-Ferreira. Expansion undertaken by Rezende-Ferreira has weaknesses that there are several parameters have the same value. These values form Nelson-Siegel model. In this paper, we propose expansion of Svensson model. These models are non-linear model, so it is more difficult to estimate. To overcome this problem, we propose Nonlinear Least Square by L-BFGS-B method approach.
Level
Internasional
Status
Dokumen Karya
No
Judul
Tipe Dokumen
Aksi
1
196511281991031004-1573-Publikasi.pdf
[PAK] Sertifikat Seminar
2
196511281991031004-1573-Publikasi.pdf
[PAK] Dokumen Susunan Panitia
3
Estimating yield curve the Svensson extended model using L-BFGS-B method approach.pdf
Cek Similarity
4
Estimating yield curve the Svensson extended model using.pdf
