YieldCurve: Modelling and Estimation of the Yield Curve

Modelling the yield curve with some parametric models. The models implemented are: Nelson, C.R., and A.F. Siegel (1987) <doi:10.1086/296409>, Diebold, F.X. and Li, C. (2006) <doi:10.1016/j.jeconom.2005.03.005> and Svensson, L.E. (1994) <doi:10.3386/w4871>. The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.

Version: 5.1
Depends: R (≥ 2.10), xts
Published: 2022-10-02
DOI: 10.32614/CRAN.package.YieldCurve
Author: Sergio Salvino Guirreri
Maintainer: Sergio Salvino Guirreri <sergioguirreri at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: YieldCurve citation info
Materials: NEWS
CRAN checks: YieldCurve results


Reference manual: YieldCurve.pdf


Package source: YieldCurve_5.1.tar.gz
Windows binaries: r-devel: YieldCurve_5.1.zip, r-release: YieldCurve_5.1.zip, r-oldrel: YieldCurve_5.1.zip
macOS binaries: r-release (arm64): YieldCurve_5.1.tgz, r-oldrel (arm64): YieldCurve_5.1.tgz, r-release (x86_64): YieldCurve_5.1.tgz, r-oldrel (x86_64): YieldCurve_5.1.tgz
Old sources: YieldCurve archive


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