Empirical Analysis of the EU Term Structure of Interest Rates

Intro -- 1. Introduction -- 2. Calculation Methods and Descriptive Analysis -- 2.1. Introductory Remarks -- 2.2. Bootstrapping -- 2.3. Nelson{Siegel Model and its Extensions -- 2.3.1. Nelson-Siegel Model -- 2.3.2. Extension: Svensson -- 2.3.3. Extension: Diebold and Li -- 2.4. Principal Component Analysis -- 2.5. Data -- 2.6. Dynamic of Spot Rates in Levels -- 2.7. Stationarity -- 2.8. Normality Tests -- 2.9. Calculation of Principal Components -- 2.10. Short Summary -- 3. Estimation Models -- 3.1. Introductory Remarks -- 3.2. Basics about ARCH/GARCH Processes -- 3.3. Mixture GARCH(1,1) Models -- 3.3.1. General Remarks -- 3.3.2. Moments and Stationarity Conditions -- 3.3.3. Normal Mixture GARCH(1,1) -- 3.3.4. t-Mixture GARCH(1,1) -- 3.3.5. Exponential Power Mixture GARCH(1,1) -- 3.4. Skewed Exponential Power GARCH(1,1) -- 3.5. Gauss{Laplace Sum GARCH(1,1) -- 3.6. Skewed Gauss{Laplace Sum GARCH(1,1) -- 3.7. Markov Switching GARCH(1,1) -- 3.7.1. Basic Principles -- 3.7.2. Relation to GARCH(1,1) -- 3.7.3. Two Extensions -- 3.8. Concluding Remarks -- 4. Estimation Results -- 4.1. Introductory Remarks -- 4.2. Pre{Estimation Analysis -- 4.2.1. Lagrange Multiplier Test of Engle -- 4.2.2. Determining ARMA Structure -- 4.3. In{Sample Performance -- 4.3.1. In{Sample Results -- 4.3.2. Further Examination of Results -- 4.3.3. In{Sample Performance Tests -- 4.4. Out{of{Sample Performance -- 4.4.1. Explanation of Procedures -- 4.4.2. Out{of{Sample Results -- 4.4.3. Out{of{Sample Performance Tests -- 4.5. Short Summary -- 5. Summary and Conclusion -- A. Theoretical Basics and Derivations -- A.1. Continuous Compounding -- A.2. Eigenvalues and Eigenvectors -- A.3. Derivation of Moments and Stationarity Conditions -- A.3.1. Normal Mixture GARCH(1,1) -- A.3.2. t-Mixture GARCH(1,1) -- A.3.3. Exponential Power Mixture GARCH(1,1).