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This Chapter is a continuation from Chap. 4, and K0-TSIR model or equivalently K0-YC model in the KGB model class [A] is developed as an empirically effective yield curve derived from coupon GB prices, where K0-YC stands for KGB0 yield curve.

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Empirical Effectiveness of K0-Yield Curve

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  • 发表日期：

    2025年

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  • Takeaki Kariya,
  • Yoshiro Yamamura

摘要

This Chapter is a continuation from Chap. 4, and K0-TSIR model or equivalently K0-YC model in the KGB model class [A] is developed as an empirically effective yield curve derived from coupon GB prices, where K0-YC stands for KGB0 yield curve.