Search Results - subject:"Nelson–Siegel curve"

A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound

Opschoor, Daan; van der Wel, Michel - 2022

We propose a smooth shadow-rate version of the dynamic Nelson-Siegel (DNS) model to analyze the term structure of interest rates during the recent zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model becomes highly tractable with a closed-form yield...

Persistent link: https://www.econbiz.de/10013356467

A smooth shadow-rate dynamic Nelson-Siegel Model for yields at the zero lower bound

Opschoor, Daan; Wel, Michel van der - 2022

Persistent link: https://www.econbiz.de/10012817007

Arbitrage-free Nelson-Siegel model for multiple yield curves

Brignone, Riccardo; Gerhart, Christoph; Lütkebohmert, Eva - In: Mathematics and financial economics 16 (2022) 2, pp. 239-266

Persistent link: https://www.econbiz.de/10013167786

Arbitrage-free Nelson–Siegel model for multiple yield curves

Brignone, Riccardo; Gerhart, Christoph; Lütkebohmert, Eva - In: Mathematics and Financial Economics 16 (2021) 2, pp. 239-266

We propose an affine term structure model that allows for tenor-dependence of yield curves and thus for different risk categories in interbank rates, an important feature of post-crisis interest rate markets. The model has a Nelson–Siegel factor loading structure and thus economically well...

Persistent link: https://www.econbiz.de/10014501420

Forecasting the yield curve with dynamic factors

Reschenhofer, Erhard; Stark, Thomas - In: Romanian journal of economic forecasting 22 (2019) 1, pp. 101-113

Persistent link: https://www.econbiz.de/10012022015

Term structure estimation with missing data : application for emerging markets

Nagy, Krisztina - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 347-360

Persistent link: https://www.econbiz.de/10012416976

Essays in Financial Econometrics

Hua, Jian - 2010

In the first chapter, I estimate dynamic factors from the term structure of credit spreads and the term structure of equity option implied volatilities, and I provide a comprehensive characterization of the dynamic relationships among those credit spread factors and equity volatility factors. I...

Persistent link: https://www.econbiz.de/10009439200

Forecasting the Term Structure of Variance Swaps

Detlefsen, Kai; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

- Siegel curve; Semiparametric factor model 1 Introduction In the last 30 years we have witnessed major advances in the … Nelson-Siegel model. JEL classification: G1, D4, C5 Keywords: Term structure; Variance swap curve; Heston model; Nelson …

Persistent link: https://www.econbiz.de/10005677888

Forecasting the Term Structure of Government Bond Yields

Diebold, Francis X.; Li, Canlin - Center for Financial Studies - 2004

model, Nelson-Siegel curve 1 The empirical literature that models yields as a cointegrated system, typically with one … interpretation, showing that the three coefficients in the Nelson-Siegel curve may be interpreted as latent level, slope and … what we have called the “Nelson-Siegel curve” is actually a different factorization than the one originally advocated by …

Persistent link: https://www.econbiz.de/10005022448

Forecasting the term structure of government bond yields

Diebold, Francis X.; Li, Canlin - 2003

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...

Persistent link: https://www.econbiz.de/10010298283