The Nelson-Siegel-Svensson yields. Probability properties and estimation | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2015. № 4(33).

The Nelson-Siegel-Svensson yields. Probability properties and estimation

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.

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Keywords

временная структура, кривая доходности, аффинные модели, модель доходности Нельсона - Сигеля -Свенссона, фильтр Калмана, term structure, yield curve, affine models, Nelson-Siegel-Svensson yield model, Kalman filter

Authors

Name	Organization	E-mail
Medvedev Gennady A.	Belarusian State University	MedvedevGA@cosmostv.by

Всего: 1

References

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