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

DOI10.1016/J.EJOR.2012.01.004MaRDI QIDQ439703zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• An arbitrage‐free generalized Nelson–Siegel term structure model
• A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
• scientific article; zbMATH DE number 1208135
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Estimation and inference in the yield curve model with an instantaneous error term

Cites work

• scientific article; zbMATH DE number 3201129 (Why is no real title available?)
• Estimating the Total Probability of the Unobserved Outcomes of an Experiment
• Forecasting the term structure of government bond yields
• The affine arbitrage-free class of Nelson-Siegel term structure models

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

This page was built for publication: Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q439703)