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2 datasets found

Federal

Yield Curve Models and Data - Three-Factor Nominal Term Structure Model

Board of Governors of the Federal Reserve System —

This is a no-arbitrage dynamic term structure model, implemented as in Kim and Wright using the methodology of Kim and Orphanides. The underlying model is the...
Federal

Yield Curve Models and Data - TIPS Yield Curve and Inflation Compensation

Board of Governors of the Federal Reserve System —

The yield curve, also called the term structure of interest rates, refers to the relationship between the remaining time-to-maturity of debt securities and the yield...

2 datasets found

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