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[02606] Modeling Indonesian Government Bond Yield Curve during Covid-19 Pandemic Time

  • Session Time & Room : 3C (Aug.23, 13:20-15:00) @E504
  • Type : Contributed Talk
  • Abstract : Yield curve in bond investment will provide visualization of yields of bond as the function of the time to maturities. In this study, we analyze Indonesian Government Yield Curve (IGYSC) during the pandemic Covid-19. We apply the Nelson Siegel (NS) class model and compare the performance of the optimization method of based on numerical optimization and based on heuristic optimization. All the computation are done using R software.
  • Classification : 62J02, 62P05, 65K05, 68W50, 90C20
  • Format : Talk at Waseda University
  • Author(s) :
    • Dedi Rosadi (Universitas Gadjah Mada)
    • Dinda Awanda Ramadhani (Universitas Gadjah Mada)
    • Agus Sihabuddin (Universitas Gadjah Mada)