臺灣博碩士論文加值系統

本文以台灣公債市場交易資料進行實證研究，估計台灣公債市場之殖利率曲線。首先針對
付息債券產生的『票息效果』問題，比較零息調整法和存續期間調整法兩種調整付息效果
方法之優劣。然後，選擇較佳的付息效果調整法，比較四個殖利率函數模型之配適能力。

This paper is to estimate yield curves from Taiwan government bond data.
Fist, the paper compares the performance of two adjustment methods: the
the zero coupon method and the duration method. Moreover, the paper uses
best adjustment method to estimate yield curves with four yield curve
functions and compares the performance of four yield curve functions.