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Master of Science in Financial Mathematics
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Browsing Master of Science in Financial Mathematics by Subject "NELSON-SIEGEL"

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Estimating and forecasting the yield curve : Sri Lankan government securities market

Yapa LTS [Thesis-Abstract]

In this study, I evaluate two versions of the Nelson and Siegel (1987) model, namely the Nelson-Siegel model using the methodology presented in Diebold and Li (2006) and Nelson-Siegel-Svensson model (1994), with the ...

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