Please use this identifier to cite or link to this item: https://scidar.kg.ac.rs/handle/123456789/10132
Title: Modelling the benchmark spot curve for the Serbian market
Authors: Drenovak, Mikica
Urosevic B.
Issue Date: 2010
Abstract: The objective of this paper is to estimate Serbian benchmark spot curves using the Svensson parametric model. The main challenges that we tackle are: sparse data, different currency denominations of short and longer term maturities, and infrequent transactions in the short-term market segment vs daily traded medium and long-term market segment. We find that the model is flexible enough to account for most of the data variability. The model parameters are interpreted in economic terms.
URI: https://scidar.kg.ac.rs/handle/123456789/10132
Type: article
DOI: 10.2298/EKA1084029D
ISSN: 0013-3264
SCOPUS: 2-s2.0-78649740487
Appears in Collections:Faculty of Economics, Kragujevac

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