Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates

DOI10.1016/J.EJOR.2012.01.004zbMATH Open1244.91097OpenAlexW3125211067MaRDI QIDQ439703FDOQ439703

Authors: Geneviève Gauthier, Jean-Guy Simonato 

Publication date: 16 August 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.01.004

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zbMATH Keywords

prior informationlinearizationterm structure of interest ratescoupon bondsspot rate curves

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Forecasting the term structure of government bond yields
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Title not available (Why is that?)
• Estimating the Total Probability of the Unobserved Outcomes of an Experiment

Cited In (9)

• Pricing and risk management of interest rate swaps
• Estimation and inference in the yield curve model with an instantaneous error term
• Measurement of interest rates using a convex optimization model
• A noisy principal component analysis for forward rate curves
• Revisiting the fitting of the Nelson–Siegel and Svensson models
• Estimating interest rate curves by support vector regression
• A modified arbitrage-free Nelson-Siegel model: an alternative affine term structure model of interest rates
• Robust term structure estimation in developed and emerging markets
• Some remarks on the Nelson-Siegel model

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