YieldCurve: Modelling and Estimation of the Yield Curve
Modelling the yield curve with some parametric models.
The models implemented are:
Nelson, C.R., and A.F. Siegel (1987) <doi:10.1086/296409>,
Diebold, F.X. and Li, C. (2006) <doi:10.1016/j.jeconom.2005.03.005>
and Svensson, L.E. (1994) <doi:10.3386/w4871>.
The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.
Version: |
5.1 |
Depends: |
R (≥ 2.10), xts |
Published: |
2022-10-02 |
Author: |
Sergio Salvino Guirreri |
Maintainer: |
Sergio Salvino Guirreri <sergioguirreri at gmail.com> |
License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: |
no |
Citation: |
YieldCurve citation info |
Materials: |
NEWS |
CRAN checks: |
YieldCurve results |
Documentation:
Downloads:
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