Search Results - subject:"Svensson Model"

Macroeconomic determinants of the interest rate term structure : a Svensson model analysis

Benetti, Cristiane; Neto, José Monteiro Varanda; Mori, … - In: Economies : open access journal 13 (2025) 4, pp. 1-21

. The methodology consists of two stages. First, the Svensson model is applied to fit the daily yield curve data. This …

Persistent link: https://www.econbiz.de/10015409958

Forecasting the yield curve: the role of additional and timevarying decay parameters, conditional heteroscedasticity, and macro-economic factors

Caldeira, João F.; Cordeiro, Werley C.; Ruiz, Esther; … - 2023

Persistent link: https://www.econbiz.de/10014371839

Modeling the interest rates term structure using Machine Learning : a Gaussian process regression approach

Delucchi, Alessio; Giribone, Pier Giuseppe - In: Risk management magazine 18 (2023) 3, pp. 16-35

The correct modeling of the interest rates term structure should definitely be considered an aspect of primary importance since the forward rates and the discount factors used in any financial and risk analysis are calculated from such structure. The turbulence of the markets in recent years,...

Persistent link: https://www.econbiz.de/10014491969

A cross-sectional application of the Nelson-Siegel-Svensson model to several negative yield cases

Garcia, Maria Terese Medeiros; Carvalho, Vítor Hugo … - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-54

concern related forecasting models. The Nelson-Siegel-Svensson model (NSS) is one of the models that is most frequently used …

Persistent link: https://www.econbiz.de/10012657495

A cross-sectional application of the Nelson-Siegel-Svensson model to several negative yield cases

Garcia, Maria Terese Medeiros; Carvalho, Vítor Hugo … - In: Cogent economics & finance 7 (2019) 1, pp. 1-54

concern related forecasting models. The Nelson-Siegel-Svensson model (NSS) is one of the models that is most frequently used …

Persistent link: https://www.econbiz.de/10012023361

Comparing different methods for the estimation of interbank intraday yield curves

Jeleskovic, Vahidin; Demertzidis, Anastasios - 2018

In this paper, we compare three different models, namely the Nelson-Siegel model, the Svensson model and the Diebold … important finding is that, based on different in sample statistics, the Svensson model dominates the other two models before …

Persistent link: https://www.econbiz.de/10011954912

Estimación de la estructura temporal de las tasas de interés : el caso Venezolano

Chirinos, Ana María; Moreno, Manuel - 2011

Persistent link: https://www.econbiz.de/10009688305

Genetic algorithm estimation of interest rate term

Gimeno Nogués, Ricardo; Nave Pineda, Juan M. - 2006

The term structure of interest rates is an instrument that gives us the necessary information for valuing deterministic financial cash flows, measuring the economic market expectations and testing the effectiveness of monetary policy decisions. However, it is not directly observable and needs to...

Persistent link: https://www.econbiz.de/10012530147

Genetic algorithm estimation of interest rate term structure

Gimeno, Ricardo; Nave, Juan M. - Banco de España - 2006

Persistent link: https://www.econbiz.de/10005138498