YieldCurve
Modelling and Estimation of the Yield Curve
Modelling the yield curve with some parametric models. The models implemented are: Nelson, C.R., and A.F. Siegel (1987) <doi: 10.1086/296409>, Diebold, F.X. and Li, C. (2006) <doi: 10.1016/j.jeconom.2005.03.005> and Svensson, L.E. (1994) <doi: 10.3386/w4871>. The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
5.1 |
rolling linux/jammy R-4.5 | YieldCurve_5.1.tar.gz |
90.3 KiB |
5.1 |
rolling linux/noble R-4.5 | YieldCurve_5.1.tar.gz |
90.2 KiB |
5.1 |
rolling source/ R- | YieldCurve_5.1.tar.gz |
58.1 KiB |
5.1 |
latest linux/jammy R-4.5 | YieldCurve_5.1.tar.gz |
90.3 KiB |
5.1 |
latest linux/noble R-4.5 | YieldCurve_5.1.tar.gz |
90.2 KiB |
5.1 |
latest source/ R- | YieldCurve_5.1.tar.gz |
58.1 KiB |
5.1 |
2026-04-26 source/ R- | YieldCurve_5.1.tar.gz |
58.1 KiB |
5.1 |
2026-04-23 source/ R- | YieldCurve_5.1.tar.gz |
58.1 KiB |
5.1 |
2026-04-09 windows/windows R-4.5 | YieldCurve_5.1.zip |
93.8 KiB |
5.1 |
2025-04-20 source/ R- | YieldCurve_5.1.tar.gz |
58.1 KiB |