{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/13168"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/13168","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"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","abstract":"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.","abstract_html":"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.","abstract_has_math":false,"creators":["Petousis, Thalia"],"institution":"Centre for Actuarial Research (CARE)","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2014,"date_issued":"2014","date_published":"2014","updated_at":"2026-07-22T22:23:39Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/13168","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:creator","label":"Author","values":["Petousis, Thalia"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2015-06-29T07:53:40Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2015-06-29T07:53:40Z"]},{"key":"dc:date.issued","label":"Date","values":["2014"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Centre for Actuarial Research (CARE)"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MSc"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/13168"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references."]},{"key":"dc:description.abstract","label":"Abstract","values":["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."]},{"key":"dc:title","label":"Title","values":["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"]}]}],"canonical_facts":{"dc:creator":["Petousis, Thalia"],"dc:date.accessioned":["2015-06-29T07:53:40Z"],"dc:date.available":["2015-06-29T07:53:40Z"],"dc:date.issued":["2014"],"dc:description":["Includes bibliographical references."],"dc:description.abstract":["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."],"dc:identifier.uri":["http://hdl.handle.net/11427/13168"],"dc:language.iso":["eng"],"dc:publisher.department":["Centre for Actuarial Research (CARE)"],"dc:publisher.institution":["University of Cape Town"],"dc: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"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MSc"]},"updated_at":"2026-07-22T22:23:39Z"}