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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File | Description | Size | Format | |
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PaperMissing.pdf Restricted Access | 29.86 kB | Adobe PDF | View/Open |
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