INTERVAL YIELD CURVE ESTIMATION FOR KAZAKHSTAN BETWEEN 2019-2023

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dc.contributor.authorYertayev, Damir
dc.date.accessioned2024-12-23T07:22:31Z
dc.date.available2024-12-23T07:22:31Z
dc.date.issued2024
dc.description.abstractThis 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.
dc.identifier.citationYertayev, D. (2024). Interval Yield Curve Estimation for Kazakhstan between 2019-2023. Nazarbayev University Graduate School of Business
dc.identifier.urihttps://nur.nu.edu.kz/handle/123456789/8361
dc.language.isoen
dc.publisherNazarbayev University Graduate School of Business
dc.rightsAttribution-NonCommercial-ShareAlike 3.0 United Statesen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/us/
dc.subjectyield curve
dc.subjectKazakhstan
dc.subjectbond market
dc.subjectterm structure
dc.subjectilliquid
dc.subjectinefficient market
dc.subjectType of access: Open access
dc.titleINTERVAL YIELD CURVE ESTIMATION FOR KAZAKHSTAN BETWEEN 2019-2023
dc.typeMaster`s thesis

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