A comparison of yield curve estimation methods: the Greek case

The yield curve is a very important tool for evaluating debt instruments and the information it contains has a variety of applications, ranging from a bond investment decision to monetary policy guideline. Therefore the construction of the yield curve should be made very carefully, guaranteeing that the information it depicts reflects the true market status and prospect. In this paper we present a variety of methods for estimating the yield curve and the criteria to evaluate them. We also present the results of applying these methods to data from the Greek bond market.