Modelling the yield curve based on a partial conjecture of future yields: Using the Dynamic Nelson Siegel model and finding a conditional distribution for future yields - Couverture souple

Kalantar Nayestanaki, Ramtien

 
9783668387003: Modelling the yield curve based on a partial conjecture of future yields: Using the Dynamic Nelson Siegel model and finding a conditional distribution for future yields
Couverture souple
ISBN 10 : 3668387001 ISBN 13 : 9783668387003
Editeur : Grin Verlag, 2017

Synopsis

Bachelor Thesis from the year 2016 in the subject Business economics - Operations Research, grade: 8, University of Groningen, language: English, abstract: The reader is introduced to term structure modelling using the Dynamic Nelson-Siegel model. Assuming an independent and correlated specification for its factors, we estimate the factor dynamics by maximum likelihood. Additionally, estimation of the factors is done by Kalman filtering. We derive a closed-form distribution for future factors, forecast them and present the insample and out-of-sample forecasts. As a useful addition, we discuss the main finding of the thesis, namely a stochastic model for the predicted yield curve, when a future yield with certain maturity is given.

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Éditeur
Grin Verlag
Date d'édition
2017
Langue
anglais
ISBN 10 
3668387001
ISBN 13 
9783668387003
Reliure
Broché
Nombre de pages
36
Coordonnées du fabricant
non disponible
Personne responsable
info@bod.de
info@bod.de

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