How to cite this paper
Prathama, R., Sugiarto, S., Ugut, G & Hulu, E. (2020). Pricing model for Indonesia government bond.Accounting, 6(6), 1083-1092.
Refrences
Bolder, D. & Stréliski, D., (1999). Yield curve modelling at the bank of Canada. Bank of Canada Technical Report, 84.
Caceres, C. & Unsal, F. (2013). Sovereign spreads and contagion risks in Asia. Asian Economic Journal, 27(3), 219–243.
Castaño, R. M., Rueda, N. Z. & Robayo, J. O. P. (2014). Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter. Journal of Economics, Finance and Administrative Science, 19, 70-77.
Cox, J. C., Ingersoll, J. E. & Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53(2), 385-407.
Dajcman, D. (2015). An empirical investigation of the nexus between Sovereign bonds yields and Stock Market Returns. Inzinerine Ekonomika-Engineering Economics, 26(2), 108–117.
Diebold , F. X. & Li, C. (2006). Forecasting the term structure of government bond yields. Journal of Econometrics, 130(2), 337–364.
Diebold, F. X., Rudebusch, G. D. & Aruoba, B. S. (2007). The macroeconomy and the yield curve: A dynamic latent factor approach.. Journal of Econometrics, 131(1-2), 309–338.
Fisher, M., Nychka, D. & Zervos, D. (1995). Fitting the term structure of interest rates with smoothing splines. Finance and Economics Discussion Series, Federal Reserve Board, Working Paper 95-101.
Giraldo, M. V., Betancur, J. C. G. & Hurtado, P. M. A. (2016). Parameters calibration of the NS and NSS interest rates for Colombia: A technical note. Journal of Economics, Finance and Administrative Science, 21, 73-80.
Heath, D., Jarrow, R. & Morton, A. (1992). Bond pricing and the term structure of interest rate: A new methodology for contingent claims valuation. Econometrics, 60(1), pp. 77-105.
Hull, J. & White, A. (1990). Pricing interest rate derivative securities. The Review of Financial Studies, 3(4), 573-592.
Krishnamurthy, A. & Jorgensen, A. V. (2012). The aggregate demand for treasury debt. Journal of Political Economy, 120(2), 233-267.
McCulloch, H. J. (1971). Measuring the term structure of interest rates. The Journal of Business, 44, 19-31.
McCulloch, H. J. (1975). The tax-adjusted yield curve. The Journal of Finance, 30, 811-830.
Svensson, L. E. O. (1994). Estimating and Interpreting Forward Interest Rates: Sweden 1992-4. CEPR Discussion Paper Series, October(1051).
Ullah, W., Matsuda, Y. & Tsukuda, Y. (2015). Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?. Journal of Applied Statistics, 42(4), 876-904.
Vasicek, O. A. & Fong, G. H. (1982). Term structure modelling using exponential splines. Journal of Finance, 37, 339–348.
Caceres, C. & Unsal, F. (2013). Sovereign spreads and contagion risks in Asia. Asian Economic Journal, 27(3), 219–243.
Castaño, R. M., Rueda, N. Z. & Robayo, J. O. P. (2014). Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter. Journal of Economics, Finance and Administrative Science, 19, 70-77.
Cox, J. C., Ingersoll, J. E. & Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53(2), 385-407.
Dajcman, D. (2015). An empirical investigation of the nexus between Sovereign bonds yields and Stock Market Returns. Inzinerine Ekonomika-Engineering Economics, 26(2), 108–117.
Diebold , F. X. & Li, C. (2006). Forecasting the term structure of government bond yields. Journal of Econometrics, 130(2), 337–364.
Diebold, F. X., Rudebusch, G. D. & Aruoba, B. S. (2007). The macroeconomy and the yield curve: A dynamic latent factor approach.. Journal of Econometrics, 131(1-2), 309–338.
Fisher, M., Nychka, D. & Zervos, D. (1995). Fitting the term structure of interest rates with smoothing splines. Finance and Economics Discussion Series, Federal Reserve Board, Working Paper 95-101.
Giraldo, M. V., Betancur, J. C. G. & Hurtado, P. M. A. (2016). Parameters calibration of the NS and NSS interest rates for Colombia: A technical note. Journal of Economics, Finance and Administrative Science, 21, 73-80.
Heath, D., Jarrow, R. & Morton, A. (1992). Bond pricing and the term structure of interest rate: A new methodology for contingent claims valuation. Econometrics, 60(1), pp. 77-105.
Hull, J. & White, A. (1990). Pricing interest rate derivative securities. The Review of Financial Studies, 3(4), 573-592.
Krishnamurthy, A. & Jorgensen, A. V. (2012). The aggregate demand for treasury debt. Journal of Political Economy, 120(2), 233-267.
McCulloch, H. J. (1971). Measuring the term structure of interest rates. The Journal of Business, 44, 19-31.
McCulloch, H. J. (1975). The tax-adjusted yield curve. The Journal of Finance, 30, 811-830.
Svensson, L. E. O. (1994). Estimating and Interpreting Forward Interest Rates: Sweden 1992-4. CEPR Discussion Paper Series, October(1051).
Ullah, W., Matsuda, Y. & Tsukuda, Y. (2015). Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?. Journal of Applied Statistics, 42(4), 876-904.
Vasicek, O. A. & Fong, G. H. (1982). Term structure modelling using exponential splines. Journal of Finance, 37, 339–348.