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Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil

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  • Varga, Gyorgy

Abstract

We apply and test term structure fitting models like polynomial splines, flat forward and Nelson-Siegel to the Brazilian local term structure. They are models used all over the world by authorities and financial markets practitioners but less known locally. These models were tested with a large database with all of then presenting some specification problems. These result are similar to Bliss(1997) for US term structure and showed several limitations to the use of these models in the term structure fitting.

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  • Varga, Gyorgy, 2009. "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 63(4), December.
    • Handle: RePEc:fgv:epgrbe:v:63:y:2009:i:4:a:1199
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