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

Petousis, Thalia

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Centre for Actuarial Research (CARE)

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:creator Petousis, Thalia

dc:date.issued2014

Abstract

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.

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Grantor dc:publisher.institution: Centre for Actuarial Research (CARE)
Year dc:date.issued: 2014

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dc:creator, dc:contributor.*

Author dc:creator: Petousis, Thalia

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Language dc:language.iso: eng

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Handle dc:identifier.uri: http://hdl.handle.net/11427/13168
OAI identifier oai:identifier: oai:open.uct.ac.za:11427/13168

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Harvested from: University of Cape Town
Base URL: open.uct.ac.za/oai/request
Last updated: 2026-07-22
Source record: OAI-PMH GetRecord

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Petousis, Thalia. 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. Centre for Actuarial Research (CARE), 2014. http://hdl.handle.net/11427/13168

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

Degree

Author and committee

Rights

Identifiers

Chain of custody

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