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

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dc.contributor.authorPetousis, Thaliaen_ZA
dc.date.accessioned2015-06-29T07:53:40Z
dc.date.available2015-06-29T07:53:40Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThe 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.en_ZA
dc.identifier.apacitationPetousis, T. (2014). <i>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</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Centre for Actuarial Research (CARE). Retrieved from http://hdl.handle.net/11427/13168en_ZA
dc.identifier.chicagocitationPetousis, Thalia. <i>"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."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Centre for Actuarial Research (CARE), 2014. http://hdl.handle.net/11427/13168en_ZA
dc.identifier.citationPetousis, 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.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Petousis, Thalia AB - 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. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - 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 TI - 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 UR - http://hdl.handle.net/11427/13168 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/13168
dc.identifier.vancouvercitationPetousis 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/11427/13168en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentCentre for Actuarial Research (CARE)en_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherStatisticsen_ZA
dc.titleNelson 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 strategiesen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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