Modelling the term structure of interest rates for three European countries

It is extremely important to understand the inner workings of debt markets, since they involve interesting and complex financial concepts. Moreover, the concepts related to government debt issued in form of bonds have a series of characteristics that might impact the average person reality, for which it should be completely understood. Having the previous motivations in mind, in this thesis, concepts related to the correct estimation of the zero-coupon yield curves (or term structure of interest rates) will be deeply analysed. In order to do so, several relevant models, from the one of Nelson and Siegel (which was the basis for several other more complete models), to the widely currently applied Adjusted Svensson model proposed by De Pooter will be discussed and applied. In the end of all the applications of the different exposed models, a comparison between the criteria resulting from such applications is performed, in order to assess which model fits in a more accurate way into the dataset used in this thesis. Finally, the relationship between risk and return will also be approached in a bond market context, as well as the connection between this relationship and the different risk profiles that an investor may present. ; É extremamente importante compreender o funcionamento dos mercados de dívida, uma vez que esses mercados envolvem conceitos financeiros interessantes e complexos. Para além disso, os conceitos associados à dívida pública emitida sob a forma de obrigações compreendem um conjunto de caraterísticas que podem ter impacto na realidade de cada pessoa no geral, pelo o qual devem ser totalmente compreendidos. Tendo estas motivações em mente, no decorrer desta tese, conceitos relacionados com a estimação correta da estrutura temporal das taxas de juro serão profundamente analisados, através da apresentação e aplicação de um conjunto de modelos relevantes para o efeito, desde o modelo proposto por Nelson and Siegel (sendo este a base para uma série de outros modelos mais completos), até ao modelo ...