Revisiting the fitting of the Nelson–Siegel and Svensson models

DOI10.1080/02331934.2024.2389242MaRDI QIDQ6618205zbMATH OpenFDO

Authors Dirk Banholzer, Jörg Fliege, Ralf Werner

Publication date 14 October 2024

Published in Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/02331934.2024.2389242

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A genetic algorithm estimation of the term structure of interest rates
• Forecasting the term structure of government bond yields
• scientific article; zbMATH DE number 1049347 (Why is no real title available?)
• scientific article; zbMATH DE number 852536 (Why is no real title available?)
• Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates
• The Differentiation of Pseudo-Inverses and Nonlinear Least Squares Problems Whose Variables Separate
• The macroeconomy and the yield curve: a dynamic latent factor approach

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