All Questions
4 questions
0
votes
1
answer
90
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Nelson-Siegel-Svensson: question regarding data format for fitting the model
If I want to fit the Nelson-Siegel-Svensson (NSS) model to a set of spot, forward, or discount rates, my intuition says that the data should of course be in percentage form.
For example, I should use $...
- 117
2
votes
0
answers
364
views
Data source for a corporate bond yield curve?
Yield curves are a valuable tool for economic analysis. It is particularly interesting to analyse the difference between Government Debt yields and Corporate Debt yields (credit spreads). This gives ...
- 237
1
vote
1
answer
209
views
Interest rate models
I'm studying by myself how to model interest rates. Is there any database in which I can find accurate data for indices like
Libor,
Euribor,
Eonia
etc?
- 676
13
votes
1
answer
2k
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Where can I find data on the interbank lending market?
Where can I find disaggregated interbank lending data (i.e. bank A lends to bank B x money at y rate)? I could only find data on interest rates.
I would accept LIBOR market data as well as any ...
- 572