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Estimating the Yield Curve Using the Nelson Siegel Model
www.efmaefm.org1 1. Introduction Good estimates of the term structure of interest rates (also known as the spot rate curve or the zero bond yield curve) are of the utmost importance to investors and policy makers.
Estimating the Yield Curve Using the Nelson Siegel Model
www.efmaefm.orgEstimating the Yield Curve Using the Nelson‐Siegel Model A Ridge Regression Approach Jan Annaert Universiteit Antwerpen, Prinsstraat 13, 2000 Antwerp, Belgium Anouk G.P. Claes Louvain School of Management, Boulevard du Jardin Botanique 43, …