Journal of Finance and Economics
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Journal of Finance and Economics. 2017, 5(6), 300-309
DOI: 10.12691/jfe-5-6-6
Open AccessArticle

Yield Curve Estimation: An Empirical Evidence from the Tunisian Bond Market

Aziz Chouikh1, , Rania Yousfi2 and Chehir Chehibi3

1Department of Finance, Assistant Professor of Finance at the Mediterranean School of Business, South Mediterranean University, Tunis, Tunisia, and Assistant Professor of Finance at FSJEG, University of Jendouba, Jendouba, Tunisia

2Department of Finance, the Mediterranean School of Business, South Mediterranean University, Tunis, Tunisia

3Department of Finance, Lecturer at the Mediterranean School of Business, South Mediterranean University, Tunis, Tunisia

Pub. Date: December 13, 2017

Cite this paper:
Aziz Chouikh, Rania Yousfi and Chehir Chehibi. Yield Curve Estimation: An Empirical Evidence from the Tunisian Bond Market. Journal of Finance and Economics. 2017; 5(6):300-309. doi: 10.12691/jfe-5-6-6

Abstract

Our paper aims to model the yield curve that corresponds to a graphical representation of the yields offered by the bonds of the same issuer according to their maturity, from the shortest to the longest expiration date in the Tunisian bond market (TBM). To get to our objective, we will compare the Nelson-Siegel modeling strategy, which is most often used for the analysis and the hedging of the interest rate risk of portfolios with known flows in practice, to the Svensson modeling strategy, which is the extension of the Nelson-Siegel model. Our sampling data statistically support the evidence that the more appropriate yield curve for the TBM is that estimated by the Nelson-Siegel model.

Keywords:
Yield-curve Nelson-Siegel-Svensson model Spline Yield-to-maturity interest rate

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