Estimating the term structure for USA, UK, Japan, Germany and Austria using daily bond prices

Information about the current term structure of interest rates, its level and recent trends in important countries has become a standard tool of monetary policy analysis. For comparative purposes it is important to use a common technique to estimate the term structure for all countries. In this research parametric models of the term structure for Austria, Germany, UK, USA and Japan over the period 1993 to 1998 has been estimated.
Nelson-Siegel term structure model, non-linear least squares