Transcription of Estimating the Yield Curve Using the Nelson Siegel …
{{id}} {{{paragraph}}}
Example: dental hygienist
Estimating the Yield Curve Using the Nelson Siegel …
UNIVERSITEIT ANTWERPEN Estimating the Yield Curve Using the Nelson Siegel Model A Ridge Regression Approach Jan Annaert Universiteit Antwerpen, Prinsstraat 13, 2000 Antwerp, Belgium Anouk Claes Louvain School of Management, Boulevard du Jardin Botanique 43, 1000 Brussels, Belgium Marc De Ceuster Universiteit Antwerpen, Prinsstraat 13, 2000 Antwerp, Belgium Hairui Zhang Universiteit Antwerpen, Prinsstraat 13, 2000 Antwerp, Belgium Abstract The Nelson Siegel model is widely used in practice for fitting the term structure of interest rates. Due to the ease in linearizing the model, a grid search or an OLS approach Using a fixed shape parameter are popular estimation procedures. The estimated parameters, however, have been reported (1) to behave erratically over time, and (2) to have relatively large variances. We show that the Nelson Siegel model can become heavily collinear depending on the estimated/fixed shape parameter.
UNIVERSITEIT ANTWERPEN Estimating the Yield Curve Using the Nelson‐Siegel Model A Ridge Regression Approach Jan Annaert Universiteit Antwerpen, Prinsstraat 13, 2000 Antwerp, Belgium
Tags:
Information
Domain:
Source:
Link to this page:
Please notify us if you found a problem with this document:
Related search queries
Guide to Duration, DV01, and Yield Curve, Guide to Duration, DV01, and Yield Curve Risk Transformations, Yield Curve, Treasury Yield Curve: 1961 to, Implied, Implied Yield Curve, Understanding Repo Markets, YieldCurve, DEFINING YIELD STRESS AND FAILURE STRESS STRENGTH, Yield, Relative value analysis: calculating bond spreads