Non-linear estimation and forecasting of the term structure of interest rates:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2011
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VII, 139 S. Ill., graph. Darst. |
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Datensatz im Suchindex
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| adam_text | IMAGE 1
NON-LINEAR ESTIMATION AND
FORECASTING OF THE TERM STRUCTURE OF INTEREST RATES
DISSERTATION ZUR ERLANGUNG DES GRADES EINES DOKTORS DER
WIRTSCHAFTSWISSENSCHAFT.
EINGEREICHT AN DER FAKULTAET FUER WIRTSCHAFTSWISSENSCHAFTEN DER
UNIVERSITAET REGENSBURG.
VORGELEGT VON: JOSEF HAYDEN
BERICHTERSTATTER: PROF. DR. GREGOR DORFLEITNER PROF. DR. KLAUS ROEDER
TAG DER DISPUTATION: 02.02.2011
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1010462989
DIGITALISIERT DURCH
IMAGE 2
CONTENTS
LIST OF FIGURES VI
LIST OF TABLES VII
1 INTRODUCTION AND SUMMARY 1
1.1 MOTIVATION AND INTRODUCTION 1
1.2 OVERVIEW 4
2 ZERO-COUPON YIELD CURVE ESTIMATION WITH THE PACKAGE TERMSTRC 9 2.1
INTRODUCTION 10
2.1.1 LITERATURE REVIEW 11
2.1.2 SOFTWARE REVIEW 13
2.2 ZERO-COUPON YIELD CURVE ESTIMATION 14
2.2.1 NELSON/SIEGEL AND SVENSSON METHOD 18
2.2.2 CUBIC SPLINES 23
2.3 SOFTWARE IMPLEMENTATION IN R 26
2.3.1 DATA STRUCTURE 27
2.3.2 AUXILIARY FUNCTIONS 27
2.3.3 CORE FUNCTIONS 28
2.3.4 EXPLORING THE ESTIMATION RESULTS 29
2.3.5 VISUALIZATION OF THE RESULTS 30
2.4 EXAMPLES 32
2.4.1 NELSON/SIEGEL AND SVENSSON METHOD 32
2.4.2 CUBIC SPLINES 37
IMAGE 3
CONTENTS
2.4.3 ROLLING ESTIMATION PROCEDURE 40
2.5 CONCLUSION 48
APPENDIX 2.A ANALYTICAL GRADIENTS OF THE OBJECTIVE FUNCTIONS . . .. 49
3 ESTIMATION OF AFFINE TERM STRUCTURE MODELS WITH UNSCENTED KAIMAN
FILTERS 53
3.1 INTRODUCTION 54
3.2 AN ARBITRAGE-FREE MODEL OF THE TERM STRUCTURE OF INTEREST RATES . 56
3.3 STATE-SPACE FORMULATION AND NON-LINEAR FILTERING METHODS . . .. 60
3.3.1 STATE-SPACE MODEL AND SIMULATION OF MONEY MARKET AND SWAP RATES 61
3.3.2 RECURSIVE BAYESIAN STATE ESTIMATION 62
3.3.3 QML PARAMETER ESTIMATION 65
3.4 MONTE CARLO STUDY 66
3.4.1 STATE ESTIMATION RESULTS 67
3.4.2 PARAMETER ESTIMATION RESULTS 74
3.5 CONCLUSION 78
APPENDIX 3.A CONDITIONAL MOMENTS OF THE STATE DIFFUSION 79 APPENDIX 3.B
UNSCENTED TRANSFORMATION 80
APPENDIX 3.C PARTICLE FILTER 81
4 HOW MANY FACTORS DRIVE THE TERM STRUCTURE OF SWAP RATES ? 85
4.1 INTRODUCTION 86
4.2 GAUSSIAN AFFINE TERM STRUCTURE MODELS 90
4.2.1 THE STANDARD CLASS OF ATSMS 90
4.2.2 ARBITRAGE-FREE NELSON-SIEGEL ATSMS 93
4.2.3 A DIMENSION-INVARIANT ATSM 94
4.3 TERM STRUCTURE MODEL ESTIMATION AND SWAP RATE PREDICTION . .. 96
4.3.1 PARAMETER AND STATE ESTIMATION METHODOLOGY 96
4.3.2 SWAP RATE PREDICTION AND PERFORMANCE MEASURES . . .. 100 4.4 SWAP
RATE CHARACTERISTICS AND PRINCIPAL COMPONENT ANALYSIS . . 102 4.5 MODEL
PERFORMANCE COMPARISON 108
IMAGE 4
CONTENTS
4.5.1 IN-SAMPLE EVIDENCE 108
4.5.2 OUT-OF-SAMPLE EVIDENCE 114
4.6 CONCLUSION 121
APPENDIX 4.A THE TERM STRUCTURE MODELS IN DETAIL 123
APPENDIX 4.B THE SCALED UNSCENTED TRANSFORMATION 127
APPENDIX 4.C THE TEST FOR SUPERIOR PREDICTIVE ABILITY OF HANSEN (2005)
128
BIBLIOGRAPHY 131
IV
|
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| dewey-ones | 332 - Financial economics |
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| discipline | Wirtschaftswissenschaften |
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| indexdate | 2024-07-09T22:54:17Z |
| institution | BVB |
| language | English |
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| physical | VII, 139 S. Ill., graph. Darst. |
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| spelling | Hayden, Josef Verfasser aut Non-linear estimation and forecasting of the term structure of interest rates Josef Hayden 2011 VII, 139 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Regensburg, Univ., Diss., 2011 Nichtlineare Schätzung (DE-588)4248209-4 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Prognose (DE-588)4047390-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Zinsstrukturtheorie (DE-588)4117720-4 s Nichtlineare Schätzung (DE-588)4248209-4 s Prognose (DE-588)4047390-9 s b DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021156966&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hayden, Josef Non-linear estimation and forecasting of the term structure of interest rates Nichtlineare Schätzung (DE-588)4248209-4 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd Prognose (DE-588)4047390-9 gnd |
| subject_GND | (DE-588)4248209-4 (DE-588)4117720-4 (DE-588)4047390-9 (DE-588)4113937-9 |
| title | Non-linear estimation and forecasting of the term structure of interest rates |
| title_auth | Non-linear estimation and forecasting of the term structure of interest rates |
| title_exact_search | Non-linear estimation and forecasting of the term structure of interest rates |
| title_full | Non-linear estimation and forecasting of the term structure of interest rates Josef Hayden |
| title_fullStr | Non-linear estimation and forecasting of the term structure of interest rates Josef Hayden |
| title_full_unstemmed | Non-linear estimation and forecasting of the term structure of interest rates Josef Hayden |
| title_short | Non-linear estimation and forecasting of the term structure of interest rates |
| title_sort | non linear estimation and forecasting of the term structure of interest rates |
| topic | Nichtlineare Schätzung (DE-588)4248209-4 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd Prognose (DE-588)4047390-9 gnd |
| topic_facet | Nichtlineare Schätzung Zinsstrukturtheorie Prognose Hochschulschrift |
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