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

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...

In this paper, we compare three different models, namely the Nelson-Siegel model, the Svensson model and the Diebold-Li model, for the estimation of an intraday yield curve on the Italian interbank credit market e-MID. Using a sample which spans from October 2005 until March 2010, the first...

We estimate the long rate and its volatility within the Svensson framework. The procedure that best extrapolates the longest observable rate and its volatility is a 2-dimensional grid search conditioned on the ridge regression suggested by Annaert et al. (2013).

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,...