Modelling and Estimation of the Yield Curve
Description
Modelling the yield curve with some parametric models.
The models implemented are:
Nelson, C.R., and A.F. Siegel (1987) ,
Diebold, F.X. and Li, C. (2006)
and Svensson, L.E. (1994) .
The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.