ACADSTAFF UGM
| Title | : | Estimating yield curve the Svensson extended model using L-BFGS-B method approach |
| Author | : |
MUSLIM (1) Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (2) Dr. Drs. Gunardi, M.Si. (3) Dr. Abdurakhman (4) |
| Date | : | 5 2015 |
| Keyword | : | Yield curve, Svensson extended, and L-BFGS-B Yield curve, Svensson extended, and L-BFGS-B |
| 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. |
| Group of Knowledge | : | |
| Level | : | Internasional |
| Status | : |
Published
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| No | Title | Action |
|---|---|---|
| 1 |
196511281991031004-1573-Publikasi.pdf
Document Type : [PAK] Sertifikat Seminar
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View |
| 2 |
196511281991031004-1573-Publikasi.pdf
Document Type : [PAK] Dokumen Susunan Panitia
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View |
| 3 |
Estimating yield curve the Svensson extended model using L-BFGS-B method approach.pdf
Document Type : Cek Similarity
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View |
| 4 |
Estimating yield curve the Svensson extended model using.pdf
Document Type : [PAK] Full Dokumen
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View |
| 5 |
muslim paper lebih dari 4 negara.pdf
Document Type : Seminar Sampul Prosiding
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View |