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dc.contributor.advisorErgenç, Tanıl
dc.contributor.advisorGaygısız, Esma
dc.contributor.authorBaki, İsa
dc.date.accessioned2020-12-10T09:07:35Z
dc.date.available2020-12-10T09:07:35Z
dc.date.submitted2006
dc.date.issued2018-08-06
dc.identifier.urihttps://acikbilim.yok.gov.tr/handle/20.500.12812/224047
dc.description.abstractBu çalısmada, Türkiye'deki kuponsuz bonoların getiri egrilerini belirlemekiçin, McCulloch tarafından gelistirilen Spline bazlı modelini ve Nelson ve Siegeltarafından gelistirilen, parsimonious modelini kullandık. Bu çalısmadaki verimiziOcak 2005'ten Haziran 2005'e kadar olan Türkiye'deki kuponsuz bonolarıkullanarak olusturduk. Daha sonra, kullandıgımız modellerin performansları buveriye göre karsılastırıldı. Sonuç olarak, McCulloch modeli, getirilerin tahminedilmesinde Nelson-Siegel modelinden daha iyi performans göstermektedir.Anahtar Kelimeler: Getiri egrileri, kuponsuz bonolar, B-spline, The McCulloch veNelson-Siegel modeli
dc.description.abstractThis thesis uses Spline-based model, which was developed by McCulloch,and parsimonious model, which was developed by Nelson-Siegel, to estimate theyield curves of zero-coupon bonds in Turkey. In this thesis, we construct the data byusing Turkish secondary government zero-coupon bond data, which contain the datafrom January 2005 to June 2005. After that, relative performances of models arecompared using in-sample goodness of fit. As a result, we see that performance ofMcCulloch model in fitting yield is better than that of Nelson-Siegel model.Keywords: Yield curves, zero-coupon bonds, B-spline, The McCulloch and Nelson-Siegel Modelen_US
dc.languageEnglish
dc.language.isoen
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightsAttribution 4.0 United Statestr_TR
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectMatematiktr_TR
dc.subjectMathematicsen_US
dc.titleYield curve estimination by spline based models
dc.title.alternativeGetiri eğrilerinin spline bazlı modellerle belirlenmesi
dc.typemasterThesis
dc.date.updated2018-08-06
dc.contributor.departmentUygulamalı Matematik Anabilim Dalı
dc.identifier.yokid329915
dc.publisher.instituteUygulamalı Matematik Enstitüsü
dc.publisher.universityORTA DOĞU TEKNİK ÜNİVERSİTESİ
dc.identifier.thesisid216532
dc.description.pages68
dc.publisher.disciplineDiğer


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