| Title |
Estimation of bond yield curve by yield differences for lithuanian government bonds |
| Translation of Title |
Obligacijų grąžų kreivės vertinimas naudojant grąžų skirtumus Lietuvos vyriausybės obligacijoms. |
| Authors |
Vaičiulis, Egidijus |
| Full Text |
|
| Pages |
24 |
| Keywords [eng] |
obligacijos, kuponinės obligacijos, grąžų skirtumai, Nelson-Siegel grąža, bonds, coupon bonds, yield differences, Nelson-Siegel yield |
| Abstract [eng] |
The paper considers bond pricing. Different yield curve specifications and loss functions are used to construct yield curves for pricing. This work introduces a procedure for estimation by yield difference minimization. The procedure is compared to price minimization for severa different curve specifications. The models are evaluated by changes in $MSE$ of prices. |
| Dissertation Institution |
Vilniaus universitetas. |
| Type |
Master thesis |
| Language |
English |
| Publication date |
2018 |
