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Examing the Nelson-Siegel class of term structure models : in-sample fit versus out-of-sample forecasting performance

Pooter, Michiel de - 2007

Persistent link: https://www.econbiz.de/10003482682

Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters

Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007

Persistent link: https://www.econbiz.de/10003609242

Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We … consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …

Persistent link: https://www.econbiz.de/10010532587

Examining the Nelson-Siegel class of term structure models

Pooter, Michiel de - 2007

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the purpose of fitting and forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in-sample fit of the term structure. However, I show that the...

Persistent link: https://www.econbiz.de/10011372504

Predicting the term structure of interest rates : incorporating parameter uncertainty, model uncertainty and macroeconomic information

Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - 2007 - This version: March 3, 2007

We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...

Persistent link: https://www.econbiz.de/10011372519

Level-slope-curvature : fact or artefact?

Lord, Roger; Pelsser, Antoon André Jean - 2005

The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...

Persistent link: https://www.econbiz.de/10011346478

The valuation and hedging of variable rate savings account

Jong, Frank de; Wielhouwer, Jacco L. - 2001

paper focusses on measuring the interest rate risk of variable rate savings accounts on a value basis (duration) and on the …

Persistent link: https://www.econbiz.de/10011318571

Prediction bias correction for dynamic term structure models

Raviv, Eran - 2013

Persistent link: https://www.econbiz.de/10009724677

A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area

Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014

We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...

Persistent link: https://www.econbiz.de/10010362975

The valuation of interest rate derivatives : empirical evidence from the Spanish market

Moraleda Novo, Juan Manuel; Vorst, Ton - 1996

This paper studies empirical issues of one-factor yield curve models. We focus on the models by Ho & Lee (1986), Hull & White (1990) and Moraleda & Vorst (1996). To be consistent in the comparison of the models, we derive them all within the Ritkchen and Sankarasubramanian (1995) framework,...

Persistent link: https://www.econbiz.de/10010232145

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