Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market

The paper provides a discussion of the most relevant aspects of yield curve modeling. Two classes of models are considered: stochastic and parsimonious function based, through the approaches developed by Vasicek (1977) and Nelson and Siegel (1987). Yield curve estimates for Croatia are presented and their dynamics analyzed and finally, a comparative analysis of models is conducted.

Authors:

• Zdravka Aljinović
• Branka Marasović
• Blanka Škrabić

Keywords:

• the term structure of interest rates
• Vasicek model
• Nelson-Siegel model
• Croatian Government market.

References:

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Operational Research KOI'98 (I. Aganović, T. Hunjak, R. Scitovski,
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