Abstract:The goal of this paper is to analyze the effect of OTC-DVP (over the counter delivery versus payment) fixed income market introduction in Slovenia on the term structure estimation and on the volatility of zero coupon yields and forward interest rates. For the purpose of the analysis Slovenian zero coupon and forward curves were estimated. The model used for yield curve estimation was Nelson-Siegel model as it proved to be superior in terms of goodness of fit, to other statistical methods of yield curve estimat… Show more
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