Browsing Journal Articles by Subject "Indian Government bond"
Now showing items 1-1 of 1
-
Term structure estimation with liquidity-adjusted Ane Nelson Siegel model: A nonlinear state space approach applied to the Indian bond market
(Routledge Publishing, 2021-12-12)Efficient term structure estimation in emerging markets is difficult not only because of overall lack of liquidity, but also because of the concentration of liquidity in a few securities. Using the arbitrage-free Affine ...