| Title: | Testing the performance of cubic splines and Nelson-Siegel model for estimating the zero-coupon yield curve |
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| Authors: | ID Lorenčič, Eva (Author) |
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| Files: |  Nase_gospodarstvoOur_economy_2016_Lorencic_Testing_the_Performance_of_Cubic_Splines_and_Nelson-Siegel_Model_for_Estimating_the_Zero-coup.pdf (751,46 KB)
MD5: D74CCFB8DBB8B042F55585D8CC0CF3CA
PID: 20.500.12556/dkum/44399290-8197-447b-a315-f0eccd1e66a8
 https://www.degruyter.com/view/j/ngoe.2016.62.issue-2/ngoe-2016-0011/ngoe-2016-0011.xml
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| Language: | English |
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| Work type: | Scientific work |
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| Typology: | 1.01 - Original Scientific Article |
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| Organization: | EPF - Faculty of Business and Economics
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| Abstract: | Understanding the relationship between interest rates and term to maturity of securities is a prerequisite for developing financial theory and evaluating whether it holds up in the real world; therefore, such an understanding lies at the heart of monetary and financial economics. Accurately fitting the term structure of interest rates is the backbone of a smoothly functioning financial market, which is why the testing of various models for estimating and predicting the term structure of interest rates is an important topic in finance that has received considerable attention for many decades. In this paper, we empirically contrast the performance of cubic splines and the Nelson-Siegel model by estimating the zero-coupon yields of Austrian government bonds. The main conclusion that can be drawn from the results of the calculations is that the Nelson-Siegel model outperforms cubic splines at the short end of the yield curve (up to 2 years), whereas for medium-term maturities (2 to 10 years) the fitting performance of both models is comparable. |
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| Keywords: | Cubic splines, Nelson-Siegel, yield curve, zero-coupon bonds, term structure of interest rates |
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| Publication status: | Published |
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| Publication version: | Version of Record |
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| Year of publishing: | 2016 |
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| Number of pages: | str. 42-50 |
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| Numbering: | Letn. 62, št. 2 |
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| PID: | 20.500.12556/DKUM-68948  |
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| ISSN: | 0547-3101 |
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| UDC: | 303.725.35 |
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| ISSN on article: | 0547-3101 |
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| COBISS.SI-ID: | 12375836 |
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| DOI: | 10.1515/ngoe-2016-0011 |
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| NUK URN: | URN:SI:UM:DK:JLMG5B8Z |
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| Publication date in DKUM: | 14.11.2017 |
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| Views: | 1769 |
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| Downloads: | 409 |
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| Metadata: |    |
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| Categories: | Misc.
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