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612-822-4611
Modelling the yield curve based on a partial conjecture of future yields: Using the Dynamic Nelson Siegel model and finding a conditional distribution

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

Paperback

Business General

ISBN10: 3668387001
ISBN13: 9783668387003
Publisher: Grin Verlag
Published: Feb 27 2017
Pages: 36
Weight: 0.13
Height: 0.09 Width: 5.83 Depth: 8.27
Language: English
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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Business General