Author/Editor: Rodrigo Cabral, Richard Munclinger, Luiz Alves, Marco Rodriguez Waldo.

Release Date:May, 2011

This paper characterizes the term structure of Treasury bond yields for Brazil, and estimates a Nelson-Siegel Model to reproduce its stylized facts for the period 2004-2010. For this purpose, this more...

Author/Editor: Richard Munclinger.

Release Date:January, 2011

We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model''s characteristics and its performance in describing the cross-sectional and more...