Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Dynamic Nelson Siegel"
Now showing items 1-2 of 2
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Fitting a dynamic yield macro model in a frontier market: evidence from Kenya
(Social Science Research Network, 2014-12-28)We examine the dynamic interaction between macroeconomic factors and the unobserved yield curve factors in Kenya between 1 March 2011 and 31 March 2014. First we parametarise the yields only Term Structure Model using a ... -
Public domestic debt optimization and the term structure of interest rates - Dynamic Nelson Siegel Approach
(Strathmore University, 2015-12)In this study, Markowitz's mean-variance optimization approach is applied to Kenya's public debt portfolio to identify the optimal domestic debt portfolio. The study first adopts the Dynamic Nelson Siegel model to parameterize ...
