Browsing by Author "Yertayev, Damir"

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    INTERVAL YIELD CURVE ESTIMATION FOR KAZAKHSTAN BETWEEN 2019-2023
    (Nazarbayev University Graduate School of Business, 2024) Yertayev, Damir
    This paper is a continuation of a thesis “Estimation of the term structure of interest rates for Kazakhstan government bonds using modified Nelson-Siegel methodology.” (Issayev&Post, 2019) This paper attempts to build forecast interval estimates of the linearized Nelson-Siegel model replacing TTM with the notion of tenure as it proved to increase the precision of the estimates in the low-liquidity environment of the Kazakhstani bonds market in the abovementioned paper. This work adds to the literature on the topic as there was no extensive research done on the yield curve estimation between 2019 and 2023.