| | SLO | ENG | Cookies and privacy

Bigger font | Smaller font
First page > Show document

Show document Help

Title:Testing the performance of cubic splines and Nelson-Siegel model for estimating the zero-coupon yield curve
Authors:ID Lorenčič, Eva (Author)
Files:.pdf Nase_gospodarstvoOur_economy_2016_Lorencic_Testing_the_Performance_of_Cubic_Splines_and_Nelson-Siegel_Model_for_Estimating_the_Zero-coup.pdf (751,46 KB)
MD5: D74CCFB8DBB8B042F55585D8CC0CF3CA
PID: 20.500.12556/dkum/44399290-8197-447b-a315-f0eccd1e66a8
 
URL https://www.degruyter.com/view/j/ngoe.2016.62.issue-2/ngoe-2016-0011/ngoe-2016-0011.xml
 
Language:English
Work type:Scientific work
Typology:1.01 - Original Scientific Article
Organization:EPF - Faculty of Business and Economics
Abstract:Understanding the relationship between interest rates and term to maturity of securities is a prerequisite for developing financial theory and evaluating whether it holds up in the real world; therefore, such an understanding lies at the heart of monetary and financial economics. Accurately fitting the term structure of interest rates is the backbone of a smoothly functioning financial market, which is why the testing of various models for estimating and predicting the term structure of interest rates is an important topic in finance that has received considerable attention for many decades. In this paper, we empirically contrast the performance of cubic splines and the Nelson-Siegel model by estimating the zero-coupon yields of Austrian government bonds. The main conclusion that can be drawn from the results of the calculations is that the Nelson-Siegel model outperforms cubic splines at the short end of the yield curve (up to 2 years), whereas for medium-term maturities (2 to 10 years) the fitting performance of both models is comparable.
Keywords:Cubic splines, Nelson-Siegel, yield curve, zero-coupon bonds, term structure of interest rates
Publication status:Published
Publication version:Version of Record
Year of publishing:2016
Number of pages:str. 42-50
Numbering:Letn. 62, št. 2
PID:20.500.12556/DKUM-68948 New window
ISSN:0547-3101
UDC:303.725.35
ISSN on article:0547-3101
COBISS.SI-ID:12375836 New window
DOI:10.1515/ngoe-2016-0011 New window
NUK URN:URN:SI:UM:DK:JLMG5B8Z
Publication date in DKUM:14.11.2017
Views:1561
Downloads:383
Metadata:XML DC-XML DC-RDF
Categories:Misc.
:
LORENČIČ, Eva, 2016, Testing the performance of cubic splines and Nelson-Siegel model for estimating the zero-coupon yield curve. Naše gospodarstvo. revija za aktualna gospodarska vprašanja [online]. 2016. Vol. 62, no. 2, p. 42–50. [Accessed 13 March 2025]. DOI 10.1515/ngoe-2016-0011. Retrieved from: https://dk.um.si/IzpisGradiva.php?lang=eng&id=68948
Copy citation
  
Average score:
0.5
1
1.5
2
2.5
3
3.5
4
4.5
5
(0 votes)
Your score:Voting is allowed only for logged in users.
Share:Bookmark and Share


Hover the mouse pointer over a document title to show the abstract or click on the title to get all document metadata.

Record is a part of a journal

Title:Naše gospodarstvo. revija za aktualna gospodarska vprašanja
Shortened title:Naše gospod.
Publisher:Ekonomsko-poslovna fakulteta, Društvo ekonomistov Maribor, Ekonomski center Maribor
ISSN:0547-3101
COBISS.SI-ID:751364 New window

Licences

License:CC BY-NC-ND 4.0, Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Link:http://creativecommons.org/licenses/by-nc-nd/4.0/
Description:The most restrictive Creative Commons license. This only allows people to download and share the work for no commercial gain and for no other purposes.
Licensing start date:14.11.2017

Secondary language

Language:Slovenian
Title:Testiranje učinkovitosti modela kubičnih zlepkov in Nelson-Sieglovega modela pri ocenjevanju krivulje donosa brezkuponskih vrednostnih papirjev
Abstract:Razumevanje razmerja med obrestnimi merami in časom do dospelosti vrednostnih papirjev je osnovni pogoj za razvoj in ovrednotenje pravilnosti finančne teorije. Ta tematika je zato v osrčju monetarne in finančne ekonomije. Natančno prilagajanje terminske strukture obrestnih mer je hrbtenica tekoče delujočega finančnega trga. To je razlog, da je testiranje različnih modelov, ki ocenjujejo in napovedujejo terminsko strukturo obrestnih mer, na področju financ pomembna vsebina, ki je že nekaj desetletij deležna precejšnje pozornosti. V tem članku empirično primerjamo učinkovitost modela kubičnih zlepkov in Nelson-Sieglovega modela, tako da ocenimo donosnost brezkuponskih avstrijskih državnih vrednostnih papirjev. Ključni sklep, ki ga lahko izpostavimo na podlagi dobljenih rezultatov, je, da Nelson-Sieglov model bolje aproksimira brezkuponsko krivuljo donosa na kratkem koncu (do dveh let), na srednjem delu krivulje donosa (od dveh do desetih let) pa med rezultati obeh modelov ni bistvenih razlik.
Keywords:finančne analize, ekonometrija, modeli, kubični zlepki, Nelson-Sieglov model, krivulja donosa, brezkuponske obveznice, terminska struktura obrestnih mer


Collection

This document is a part of these collections:
  1. Naše gospodarstvo

Comments

Leave comment

You must log in to leave a comment.

Comments (0)
0 - 0 / 0
 
There are no comments!

Back
Logos of partners University of Maribor University of Ljubljana University of Primorska University of Nova Gorica