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Bayesian inference in a stochastic volatility Nelson-Siegel Model

Hautsch, Nikolaus; Yang, Fuyu - 2010

capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …

Persistent link: https://www.econbiz.de/10010270702

Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates

Jungbacker, Borus; Koopman, Siem Jan; van der Wel, Michel - 2009

We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...

Persistent link: https://www.econbiz.de/10010325734

Information in the yield curve: A Macro-Finance approach

Dewachter, Hans; Iania, Leonardo; Lyrio, Marco - 2014

We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the U.S. bond market. Estimating the model using Bayesian techniques, we find that a single factor explains most of the variation in bond risk premiums. Furthermore, the model-implied...

Persistent link: https://www.econbiz.de/10011506774

Modellierung von Zinsstrukturkurven

Hewicker, Harald; Cremers, Heinz - 2011

Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...

Persistent link: https://www.econbiz.de/10010305888

Yield curve modeling and forecasting using semiparametric factor dynamics

Härdle, Wolfgang Karl; Majer, Piotr - 2012

Using a Dynamic Semiparametric Factor Model (DSFM) we investigate the term structure of interest rates. The proposed methodology is applied to monthly interest rates for four southern European countries: Greece, Italy, Portugal and Spain from the introduction of the Euro to the recent European...

Persistent link: https://www.econbiz.de/10010318745

A joint macroeconomic-yield curve model for Hungary

Reppa, Zoltán - 2009

The main goal of this paper is to examine the relationship between macroeconomic shocks and yield curve movements in Hungary. To this end, we apply a Nelson-Siegel type dynamic yield curve model, where changes of the yield curve are driven by two latent factors and some key macro variables that...

Persistent link: https://www.econbiz.de/10010322460

Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields

Hautsch, Nikolaus; Ou, Yangguoyi - 2009

autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term … illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary …

Persistent link: https://www.econbiz.de/10010303741

An extended macro-finance model with financial factors

Dewachter, Hans; Iania, Leonardo - 2010

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...

Persistent link: https://www.econbiz.de/10010266074

Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model

Giese, Julia V. - 2008

debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as …

Persistent link: https://www.econbiz.de/10010295270

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