International records / OpenAlex research

Time Varying Parameters and Curvature of Nigerian Eurobond

The aim of this paper is to numerically estimate the time varying parameters and curvature of Nigerian Eurobond by employing the five months available data knowing on assumption that the estimated parameters are functionally dependent on the Nelson-Siegel model used for the estimation of the time varying parameters. The specific objectives of determine the level, slope and the curvature factor for the Nigerian Eurobond and derive an in-sample yield model at various maturities. It was discovered from the results obtained that the variabilities in the short term and long term differ significantl…