Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies
Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies
The aims of this research are firstly to model the South African Local Government Bond Yield curve according to the Nelson Siegel Parameterisation framework, as implemented in the pivotal work of Diebold and Li (2006) in forecasting the US Treasury curve.
Reference:
Petousis, T. 2014. Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies. University of Cape Town.
Petousis, T. (2014). Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies. (Thesis). University of Cape Town ,Faculty of Commerce ,Centre for Actuarial Research (CARE). Retrieved from http://hdl.handle.net/11427/13168
Petousis, Thalia. "Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies." Thesis., University of Cape Town ,Faculty of Commerce ,Centre for Actuarial Research (CARE), 2014. http://hdl.handle.net/11427/13168
Petousis T. Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies. [Thesis]. University of Cape Town ,Faculty of Commerce ,Centre for Actuarial Research (CARE), 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/13168
