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Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies
Includes bibliographical references.
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| Main Author: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
Centre for Actuarial Research (CARE)
2015
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| _version_ | 1867613989443207168 |
|---|---|
| access_status_str | Open Access |
| author | Petousis, Thalia |
| author_browse | Petousis, Thalia |
| author_facet | Petousis, Thalia |
| author_sort | Petousis, Thalia |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/13168 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:44:54.693Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Centre for Actuarial Research (CARE) |
| publisherStr | Centre for Actuarial Research (CARE) |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/13168 Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies Petousis, Thalia Statistics Includes bibliographical references. The aims of this research are firstly to model the South African Local Government Bond Yield curve according to the Nelson Siegel Parameterisation framework, as implemented in the pivotal work of Diebold and Li (2006) in forecasting the US Treasury curve. 2015-06-29T07:53:40Z 2015-06-29T07:53:40Z 2014 Master Thesis Masters MSc http://hdl.handle.net/11427/13168 eng application/pdf Centre for Actuarial Research (CARE) Faculty of Commerce University of Cape Town |
| spellingShingle | Statistics Petousis, Thalia Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies |
| thesis_degree_str | Master's |
| title | Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies |
| title_full | Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies |
| title_fullStr | Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies |
| title_full_unstemmed | Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies |
| title_short | Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies |
| title_sort | nelson siegel parameterisation of the south african sovereign yield curve an exploration of its predictors a link to the main asset classes and implementation of systematic trading strategies |
| topic | Statistics |
| url | http://hdl.handle.net/11427/13168 |
| work_keys_str_mv | AT petousisthalia nelsonsiegelparameterisationofthesouthafricansovereignyieldcurveanexplorationofitspredictorsalinktothemainassetclassesandimplementationofsystematictradingstrategies |