THE NELSON-SIEGEL-SVENSSON YIELDS. PROBABILITY PROPERTIES AND ESTIMATION

被引：0

作者：

Medvedev, G. A. ^{[1
,2
]}

机构：

[1] Belarusian State Univ, Sci, Minsk, BELARUS

[2] Belarusian State Univ, Minsk, BELARUS

来源：

VESTNIK TOMSKOGO GOSUDARSTVENNOGO UNIVERSITETA-UPRAVLENIE VYCHISLITELNAJA TEHNIKA I INFORMATIKA-TOMSK STATE UNIVERSITY JOURNAL OF CONTROL AND COMPUTER SCIENCE | 2015年 / 33卷 / 04期

关键词：

term structure; yield curve; affine models; Nelson-Siegel-Svensson yield model; Kalman filter;

D O I：

10.17223/19988605/33/5

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Probabilty properties of the yield interest rates that are generated by model of Nelson - Siegel and Nelson - Siegel - Svensson are considered. The paper is directly related to [1]. It is shown that the model of Nelson - Siegel does not differ from the traditional two-factor model of affine yield, the volatility of which does not depend on the market state variables. Accordingly, the model of Nelson - Siegel - Svensson - from a four-factor model. These models generate the interest rates of yield to maturity and the forward yield with a normal distribution, for which the expectations and covariance matrices are found. To estimate the values of the rates of yield to maturity in the current time it is offered a recurrent procedure based on the use of the Kalman filter.

引用

页码：38 / 45

页数：8

共 6 条

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[2]

Diebold F. X., 2013, YIELD CURVE MODELING

[3]

Kloeden E, 1992, NUMERICAL SOLUTION S

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Medvedev, G. A. .

VESTNIK TOMSKOGO GOSUDARSTVENNOGO UNIVERSITETA-UPRAVLENIE VYCHISLITELNAJA TEHNIKA I INFORMATIKA-TOMSK STATE UNIVERSITY JOURNAL OF CONTROL AND COMPUTER SCIENCE, 2015, 32 (03) :44-55

[5] PARSIMONIOUS MODELING OF YIELD CURVES [J].

NELSON, CR ;

SIEGEL, AF .

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[6]

Svensson LEO, 1995, SVERIGES RIKSBANK Q, V3, P13, DOI DOI 10.3386/W4871

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