Analyzing The Term Structure Of Interest Rates Using The Dynamic Nelson Siegel Model With Time Varying Parameters

Download Analyzing The Term Structure Of Interest Rates Using The Dynamic Nelson Siegel Model With Time Varying Parameters full books in PDF, epub, and Kindle. Read online Analyzing The Term Structure Of Interest Rates Using The Dynamic Nelson Siegel Model With Time Varying Parameters ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!

Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters

Author : Siem Jan Koopman
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!

Book Synopsis Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters by : Siem Jan Koopman

Download or read book Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters written by Siem Jan Koopman and published by . This book was released on 2011 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we introduce time-varying parameters in the dynamic Nelson-Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities, known as the term structure. The Nelson-Siegel model has been recently reformulated as a dynamic factor model where the latent factors are interpreted as the level, slope and curvature of the term structure. The factors are modeled jointly as a vector autoregressive process. We propose to extend this framework in two directions. First, the factor loadings in the Nelson-Siegel yield model depend on a single loading parameter. We allow this parameter to be time-varying by treating it as the fourth latent factor that is modeled jointly with the other factors in the vector autoregressive process. Second, we investigate in detail whether the overall volatility in interest rates is constant over time. For this purpose, we introduce a common volatility component that is specified as a GARCH (generalized autoregressive conditional heteroskedasticity) process. The common volatility component is scaled separately for each maturity by an unknown coefficient. We further investigate whether the innovations of the factors are also subject to a common volatility component. Based on a dataset of yield curves that is analyzed by others, we present empirical evidence of considerable increases in within-sample goodness-of-fit when time-varying loadings and volatilities in the dynamic Nelson-Siegel yield model are introduced.

Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-varying Parameters

Author : Siem Jan Koopman
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (211 download)

DOWNLOAD NOW!

Book Synopsis Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-varying Parameters by : Siem Jan Koopman

Download or read book Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-varying Parameters written by Siem Jan Koopman and published by . This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Yield Curve Modeling and Forecasting

Author : Francis X. Diebold
Publisher : Princeton University Press
ISBN 13 : 0691146802
Total Pages : 223 pages
Book Rating : 4.6/5 (911 download)

DOWNLOAD NOW!

Book Synopsis Yield Curve Modeling and Forecasting by : Francis X. Diebold

Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.

Extreme Yield Movements and Dynamic Density Forecasts for the Term Structure of Interest Rates

Author : Diaa Noureldin
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

Book Synopsis Extreme Yield Movements and Dynamic Density Forecasts for the Term Structure of Interest Rates by : Diaa Noureldin

Download or read book Extreme Yield Movements and Dynamic Density Forecasts for the Term Structure of Interest Rates written by Diaa Noureldin and published by . This book was released on 2017 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we utilize the dynamic Nelson-Siegel model to forecast the joint density of changes in the term structure of interest rates. We specify a flexible model for the factor dynamics and their dependence structure using time-varying copulas, thus allowing for departure from the normality assumption typically adopted in the literature. Using US Treasury yields for the period January 1970 to December 2009, our in-sample results show statistically significant gains due to allowing for a time-varying dependence structure which permits extreme factor comovements. In addition, allowing for time variation in the dependence structure significantly enhances the model's ability to forecast the joint density of the term structure. The latter results are based on Diebold and Mariano (1995) pairwise predictive ability tests, and the model confidence set of Hansen et al. (2011).

Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates

Author : Borus Jungbacker
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

Book Synopsis Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates by : Borus Jungbacker

Download or read book Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates written by Borus Jungbacker and published by . This book was released on 2014 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the dynamic factor model and show how smoothness restrictions can be imposed on factor loadings by using cubic spline functions. We develop statistical procedures based on Wald, Lagrange multiplier and likelihood ratio tests for this purpose. The methodology is illustrated by analyzing a newly updated monthly time series panel of U.S. term structure of interest rates. Dynamic factor models with and without smooth loadings are compared with dynamic models based on Nelson-Siegel and cubic spline yield curves. We conclude that smoothness restrictions on factor loadings are supported by the interest rate data and can lead to more accurate forecasts.

Theory and Applications of Time Series Analysis

Author : Olga Valenzuela
Publisher : Springer Nature
ISBN 13 : 3030260364
Total Pages : 380 pages
Book Rating : 4.0/5 (32 download)

DOWNLOAD NOW!

Book Synopsis Theory and Applications of Time Series Analysis by : Olga Valenzuela

Download or read book Theory and Applications of Time Series Analysis written by Olga Valenzuela and published by Springer Nature. This book was released on 2019-10-18 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents selected peer-reviewed contributions from the International Conference on Time Series and Forecasting, ITISE 2018, held in Granada, Spain, on September 19-21, 2018. The first three parts of the book focus on the theory of time series analysis and forecasting, and discuss statistical methods, modern computational intelligence methodologies, econometric models, financial forecasting, and risk analysis. In turn, the last three parts are dedicated to applied topics and include papers on time series analysis in the earth sciences, energy time series forecasting, and time series analysis and prediction in other real-world problems. The book offers readers valuable insights into the different aspects of time series analysis and forecasting, allowing them to benefit both from its sophisticated and powerful theory, and from its practical applications, which address real-world problems in a range of disciplines. The ITISE conference series provides a valuable forum for scientists, engineers, educators and students to discuss the latest advances and implementations in the field of time series analysis and forecasting. It focuses on interdisciplinary and multidisciplinary research encompassing computer science, mathematics, statistics and econometrics.

Riskfree rate dynamics

Author : Michel van der Wel.
Publisher : Rozenberg Publishers
ISBN 13 : 905170769X
Total Pages : 155 pages
Book Rating : 4.0/5 (517 download)

DOWNLOAD NOW!

Book Synopsis Riskfree rate dynamics by : Michel van der Wel.

Download or read book Riskfree rate dynamics written by Michel van der Wel. and published by Rozenberg Publishers. This book was released on 2008 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt:

On the Estimation of Term Structure Models and An Application to the United States

Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1455298093
Total Pages : 65 pages
Book Rating : 4.4/5 (552 download)

DOWNLOAD NOW!

Book Synopsis On the Estimation of Term Structure Models and An Application to the United States by : International Monetary Fund

Download or read book On the Estimation of Term Structure Models and An Application to the United States written by International Monetary Fund and published by International Monetary Fund. This book was released on 2010-11-01 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.

Examining the Nelson-Siegel Class of Term Structure Models

Author : Michiel David Pooter
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (25 download)

DOWNLOAD NOW!

Book Synopsis Examining the Nelson-Siegel Class of Term Structure Models by : Michiel David Pooter

Download or read book Examining the Nelson-Siegel Class of Term Structure Models written by Michiel David Pooter and published by . This book was released on 2007 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Econometric Methods and Their Applications in Finance, Macro and Related Fields

Author : Kaddour Hadri
Publisher : World Scientific
ISBN 13 : 9814513474
Total Pages : 616 pages
Book Rating : 4.8/5 (145 download)

DOWNLOAD NOW!

Book Synopsis Econometric Methods and Their Applications in Finance, Macro and Related Fields by : Kaddour Hadri

Download or read book Econometric Methods and Their Applications in Finance, Macro and Related Fields written by Kaddour Hadri and published by World Scientific. This book was released on 2014 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric Society, which is one of the OC chaptersOCO of the International Econometric Society. Many of these papers represent the state of the art in financial econometrics and applied econometric modeling, and some also provide useful simulations that shed light on the models'' ability to generate meaningful scenarios for forecasting and policy analysis. Contents: Financial Econometrics and International Finance: Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-Based Multivariate Approach (Ruijun Bu, Ludovic Giet, Kaddour Hadri and Michel Lubrano); Financial Risk Management Using Asymmetric Heavy-Tailed Distribution and Nonlinear Dependence Structures of Asset Returns Under Discontinuous Dynamics (Alaa El-Shazly); Modeling Time-Varying Dependence in the Term Structure of Interest Rates (Diaa Noureldin); Nonlinear Filtering and Market Implied Rating for a Jump-Diffusion Structural Model of Credit Risk (Alaa El-Shazly); Time-Varying Optimal Weights for International Asset Allocation in African and South Asian Markets (Dalia El-Edel); Econometric Theory and Methods: Econometric Methods for Ordered Responses: Some Recent Developments (Franco Peracchi); Which Quantile Is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression (Anil K Bera, Antonio F Galvao Jr., Gabriel V Montes-Rojas, Sung Y Park); The Experimetrics of Fairness (Anna Conte and Peter Moffatt); Uniform in Bandwidth Tests of Specification for Conditional Moment Restrictions Models (Pascal Lavergne and Pierre Nguimkeu); Joint LM Test for Homoscedasticity in a Two Way Error Components Model (Eugene Kouassi, Joel Sango, J M BossonBrou and Kern O Kymn); An Approximation to the Distribution of the Pooled Estimator When the Time Series Equation Is One of a Complete System (Ghazal Amer and William Mikhail); Monetary, Labor, Environmental and Other Econometric Applications: Monetary Policy and the Role of the Exchange Rate in Egypt (Tarek Morsi and Mai El-Mossallamy); International Migration, Remittances and Household Poverty Status in Egypt (Rania Roushdy, Ragui Assaad and Ali Rashed); Determinants of Job Quality and Wages of the Working Poor: Evidence From 1998OCo2006 Egypt Labor Market Panel Survey (Mona Said); A Contract-Theoretic Model of Conservation Agreements (Heidi Gjertsen, Theodore Groves, David A Miller, Eduard Niesten, Dale Squires and Joel Watson); Household Environment and Child Health in Egypt (Mahmoud Hailat and Franco Peracchi); Modeling the Relationship between Natural Resource Abundance, Economic Growth, and the Environment: A Cross-Country Study (Hala Abou-Ali and Yasmine M Abdelfattah); Global Cement Industry: Competitive and Institutional Frameworks (Tarek H Selim and Ahmed S Salem); On the Occurrence of Ponzi Schemes in Presence of Credit Restrictions Penalizing Default (Abdelkrim Seghir); Is Targeted Advertising Always Beneficial? (Nada Ben Elhadj-Ben Brahim, Rim Lahmandi-Ayed and Didier Laussel). Readership: Graduate students and researchers in the fields of econometrics, economic theory, applied econometrics.

Modeling the Term Structure of Interest Rates

Author : Rajna Gibson
Publisher : Now Publishers Inc
ISBN 13 : 1601983727
Total Pages : 171 pages
Book Rating : 4.6/5 (19 download)

DOWNLOAD NOW!

Book Synopsis Modeling the Term Structure of Interest Rates by : Rajna Gibson

Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.

Topics in Applied Statistics

Author : Mingxiu Hu
Publisher : Springer Science & Business Media
ISBN 13 : 1461478464
Total Pages : 340 pages
Book Rating : 4.4/5 (614 download)

DOWNLOAD NOW!

Book Synopsis Topics in Applied Statistics by : Mingxiu Hu

Download or read book Topics in Applied Statistics written by Mingxiu Hu and published by Springer Science & Business Media. This book was released on 2013-09-14 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents 27 selected papers in topics that range from statistical applications in business and finance to applications in clinical trials and biomarker analysis. All papers feature original, peer-reviewed content. The editors intentionally selected papers that cover many topics so that the volume will serve the whole statistical community and a variety of research interests. The papers represent select contributions to the 21st ICSA Applied Statistics Symposium. The International Chinese Statistical Association (ICSA) Symposium took place between the 23rd and 26th of June, 2012 in Boston, Massachusetts. It was co-sponsored by the International Society for Biopharmaceutical Statistics (ISBS) and American Statistical Association (ASA). This is the inaugural proceedings volume to share research from the ICSA Applied Statistics Symposium.

Time Series Analysis by State Space Methods

Author : James Durbin
Publisher : Oxford University Press
ISBN 13 : 019964117X
Total Pages : 369 pages
Book Rating : 4.1/5 (996 download)

DOWNLOAD NOW!

Book Synopsis Time Series Analysis by State Space Methods by : James Durbin

Download or read book Time Series Analysis by State Space Methods written by James Durbin and published by Oxford University Press. This book was released on 2012-05-03 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a comprehensive treatment of the state space approach to time series analysis. A distinguishing feature of state space time series models is that observations are regarded as made up of distinct components, which are each modelled separately.

Dynamic Factor Models

Author :
Publisher : Emerald Group Publishing
ISBN 13 : 1785603523
Total Pages : 688 pages
Book Rating : 4.7/5 (856 download)

DOWNLOAD NOW!

Book Synopsis Dynamic Factor Models by :

Download or read book Dynamic Factor Models written by and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 688 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.

Handbook of Financial Econometrics and Statistics

Author : Cheng-Few Lee
Publisher : Springer
ISBN 13 : 9781461477495
Total Pages : 0 pages
Book Rating : 4.4/5 (774 download)

DOWNLOAD NOW!

Book Synopsis Handbook of Financial Econometrics and Statistics by : Cheng-Few Lee

Download or read book Handbook of Financial Econometrics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2014-09-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.

The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007–10

Author : Mr.Carlos I. Medeiros
Publisher : International Monetary Fund
ISBN 13 : 1455226041
Total Pages : 26 pages
Book Rating : 4.4/5 (552 download)

DOWNLOAD NOW!

Book Synopsis The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007–10 by : Mr.Carlos I. Medeiros

Download or read book The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007–10 written by Mr.Carlos I. Medeiros and published by International Monetary Fund. This book was released on 2011-04-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the dynamics of the term structure of interest rates in the United States in light of the financial crisis in 2007-10. In particular, this paper assesses the dynamics of the term structure of U.S. Treasury security yields in light of economic and financial events and the monetary policy response since the inception of the crisis in mid-2007. To this end, this paper relies on estimates of the term structure using Nelson-Siegel models that make use of unobservable or latent factors and macroeconomic variables. The paper concludes that both the latent factors and macroeconomic variables explain the dynamics of the term structure of interest rates, and the expectations of the impact on macroeconomic variables of changes in financial factors, and vice versa, have changed little with the financial crisis.

The Reaction of Term Structure of Interest Rates to the Monetary Policy Actions

Author : Levon Goukasian
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!

Book Synopsis The Reaction of Term Structure of Interest Rates to the Monetary Policy Actions by : Levon Goukasian

Download or read book The Reaction of Term Structure of Interest Rates to the Monetary Policy Actions written by Levon Goukasian and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the response of the Term Structure of discount rates to the changes in the Federal Funds Target Rate. It also suggests a method of hedging fixed income portfolio's risk to the unexpected changes in monetary policy. We use two alternative widely used models of term structure of interest rates - the Extended Nelson-Siegel and the Extended Vasicek models. We show that only the slope of the term structure of zero-rates (also known as the spread between medium and short term rates) reacts significantly to the monetary policy. We also demonstrate that in our case, the Extended Vasicek model outperforms the Extended Nelson-Siegel model in capturing the impact of the monetary policy on the shape of the term structure. The results here can be used in practice to hedge the risk of the changes in the shape of the term structure of rates, due to monetary policy actions.