Modelling the yield curve based on a partial conjecture of future yields: Using the Dynamic Nelson Siegel model and finding a conditional distribution for future yields

Kalantar Nayestanaki, Ramtien

ISBN 10: 3668387001 / ISBN 13: 9783668387003

Published by Grin Verlag, 2017

About this Item

Seller Inventory # I-9783668387003

Bibliographic Details

• Title: Modelling the yield curve based on a partial conjecture of future yields: Using the Dynamic Nelson Siegel model and finding a conditional distribution for future yields
• Publisher: Grin Verlag
• Publication Date: 2017
• Language: English
• ISBN 10: 3668387001
• ISBN 13: 9783668387003
• Binding: Soft cover
• Condition: New

About this title

Synopsis

Bachelor Thesis from the year 2016 in the subject Business economics - Operations Research, grade: 8, University of Groningen, language: English, abstract: The reader is introduced to term structure modelling using the Dynamic Nelson-Siegel model. Assuming an independent and correlated specification for its factors, we estimate the factor dynamics by maximum likelihood. Additionally, estimation of the factors is done by Kalman filtering. We derive a closed-form distribution for future factors, forecast them and present the insample and out-of-sample forecasts. As a useful addition, we discuss the main finding of the thesis, namely a stochastic model for the predicted yield curve, when a future yield with certain maturity is given.