A Rotated Dynamic Nelson-Siegel Model

被引：1
|
作者：
Nyholm, Ken [1 ]
机构：
[1] European Cent Bank, Capital Markets & Financial Struct Div, Frankfurt, Germany
来源：
ECONOMIC NOTES | 2018年 / 47卷 / 01期
关键词：
D O I：
10.1111/ecno.12094
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
I show how to rotate the factor structure of the well-known Dynamic Nelson-Siegel yield-curve model to enable direct parametrization of the short rate process. This makes it easy to calculate model-implied term premia and to integrate macroeconomic variables into the model in a Taylor-rule-type fashion.
引用
收藏
页码：113 / 123
页数：11
相关论文
共 50 条
  • [1] ANALYZING OIL FUTURES WITH A DYNAMIC NELSON-SIEGEL MODEL
    Gronborg, Niels S.
    Lunde, Asger
    [J]. JOURNAL OF FUTURES MARKETS, 2016, 36 (02) : 153 - 173
  • [2] Affine Nelson-Siegel model
    Alfaro, Rodrigo A.
    [J]. ECONOMICS LETTERS, 2011, 110 (01) : 1 - 3
  • [3] Adaptive dynamic Nelson-Siegel term structure model with applications
    Chen, Ying
    Niu, Linlin
    [J]. JOURNAL OF ECONOMETRICS, 2014, 180 (01) : 98 - 115
  • [4] A dynamic Nelson-Siegel yield curve model with Markov switching
    Levant, Jared
    Ma, Jun
    [J]. ECONOMIC MODELLING, 2017, 67 : 73 - 87
  • [5] The deterministic shift extension and the affine dynamic Nelson-Siegel model
    Dang-Nguyen, Stephane
    Le Caillec, Jean-Marc
    Hillion, Alain
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2014, 29 : 402 - 417
  • [6] A note on the Nelson-Siegel family
    Filipovic, D
    [J]. MATHEMATICAL FINANCE, 1999, 9 (04) : 349 - 359
  • [7] Arbitrage-free relative Nelson-Siegel model
    Ishii, Hokuto
    [J]. FINANCE RESEARCH LETTERS, 2020, 37
  • [8] Bayesian inference in a Stochastic Volatility Nelson-Siegel model
    Hautsch, Nikolaus
    Yang, Fuyu
    [J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2012, 56 (11) : 3774 - 3792
  • [9] How arbitrage-free is the Nelson-Siegel model?
    Coroneo, Laura
    Nyholm, Ken
    Vidova-Koleva, Rositsa
    [J]. JOURNAL OF EMPIRICAL FINANCE, 2011, 18 (03) : 393 - 407
  • [10] A new generalized Nelson-Siegel model and its empirical analysis
    Wen, Zhongqiao
    [J]. PROCEEDINGS OF CHINA-CANADA INDUSTRY WORKSHOP ON FINANCIAL ENGINEERING AND ENTERPRISE RISK MANAGEMENT 2009, 2009, : 280 - 284
12345