Borradores de Economia
Número:
761
Publicado:
Clasificación JEL:
C32, C45, E43, G17
Palabras clave:
Term structure of interest rates, Nelson & Siegel, Svensson, out-of-sample forecast
Lo más reciente
Jhorland Ayala-García, Yesica Tatiana Lara-Silva, Alejandro Alberto Vargas-Villamil, Lina Romero-Chaparro
Jesús Alonso Botero-García, Ligia Alba Melo-Becerra, Cristian Castrillón Gaviria, Daniela Gallo
Hernando Vargas-Herrera
This document explores the predictive power of the yield curves in Latin America (Colombia, Mexico, Peru and Chile) taking into account the factors set by the specifications of Nelson y Siegel and Svensson. Several forecasting methodologies are contrasted