Transcription of Estimating the Yield Curve Using the Nelson Siegel Model
{{id}} {{{paragraph}}}
Example: stock market
Estimating the Yield Curve Using the Nelson Siegel Model
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.
splines (McCulloch (1971, 1975)), exponential splines (Vasicek and Fong (1982)), B‐splines (Shea (1984) and Steeley (1991)), quartic maximum smoothness splines (Adams and Van Deventer (1994)) and ... and Uhrig‐Homburg (2000) use the Nelson‐Siegel model to describe the yield curves of Deutsche Mark‐ ...
Tags:
Information
Domain:
Source:
Link to this page:
Please notify us if you found a problem with this document: