Estimating Yield Curve The Svensson Extended Model Using L-BFGS-B Method Approach

Muslim, Muslim and Rosadi, Dedi and Gunardi, Gunardi and Abdurakhman, Abdurakhman (2014) Estimating Yield Curve The Svensson Extended Model Using L-BFGS-B Method Approach. In: The 2th ISM International Statistical Conperence 2014 with Application in Sciencies and Enginering, 12-14 Agustus 2014, Pahang, Malaysia.

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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.

Type:	Conference (Speech)
Subjects:	Q Science > QA Mathematics
Depositing User:	MUSLIM
Date Deposited:	25 Jun 2020 05:43
Last Modified:	25 Jun 2020 05:43
URI:	https://repository.unja.ac.id/id/eprint/12275

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