| DeRezende.Ferreira-package {DeRezende.Ferreira} | R Documentation |
Zero Coupon Yield Curve Modelling
Description
Modeling the zero coupon yield curve using the dynamic De Rezende and Ferreira (2011) <doi:10.1002/for.1256> five factor model with variable or fixed decaying parameters. For explanatory purposes, the package also includes various short datasets of interest rates for the BRICS countries.
Details
| Package: | DeRezende.Ferreira |
| Type: | Package |
| Version: | 4.1 |
| Date: | 2019-04-26 |
| Depends: | R (>= 3.5.0), xts, stats |
| License: | GPL (>= 2) |
| Encoding: | UTF-8 |
| LazyData: | true |
| RoxygenNote: | 6.1.1 |
Author(s)
Author: Oleksandr Castello [aut, cre]
Marina Resta [ctb, cre]
Maintainer: Oleksandr Castello <alexander-castello@libero.it>
References
De Rezende R.B., Ferreira M.S., “Modeling and Forecasting the Brazilian Term Structure of Interest Rates by an Extended Nelson-Siegel Class of Models: A Quantile Autoregression Approach” (2008).
De Rezende R.B., Ferreira M.S. (2011), “Modeling and Forecasting the Yield Curve by an Extended Nelson-Siegel Class of Models: A Quantile Autoregression Approach”, Journal of Forecasting , J. Forecast. n. 32, p. 111–123 (2013).
De Rezende R.B., “Giving Flexibility to The Nelson-Siegel Class of Term Structure Models”, Revista Brasileira de Financas Vol. 9, N. 1 (2011), p. 27–49.
Caldeira. J. F., Moura G. V., Portugal M.S., “Efficient Yield Curve Estimation and Forecasting in Brazil”, Revista EconomiA (Brasilia) (January/April 2009) ,v.11, n.1, p.27–51.
Nelson C. R., Siegel A.F., “Parsimonious Modeling of Yield Curves”, The Journal of Business (1987), 60, 473-489.
Diebold F.X., Li C.,” Forecasting the term structure of government bond yields”, Journal of Econometrics n. 130, 337-364 (2005).
Diebold, F.X., Ji, L. and Li, C. , A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration, in L.R. Klein (ed.), Long-Run Growth and Short-Run Stabilization: Essays in Memory of Albert Ando. Cheltenham, U.K.: Edward Elgar, p. 240-274 (2006).
Guirreri S.S., "Modelling and estimation of the yield curve", Package "YieldCurve" - February 19, 2015, CRAN.