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
  • [21] Modelling the term structure of Japanese bond yields with the Nelson-Siegel model
    Tsui, A. K.
    Wu, J. X.
    Zhang, Z. Y.
    [J]. 20TH INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION (MODSIM2013), 2013, : 1392 - 1398
  • [22] An arbitrage-free generalized Nelson-Siegel term structure model
    Christensen, Jens H. E.
    Diebold, Francis X.
    Rudebusch, Glenn D.
    [J]. ECONOMETRICS JOURNAL, 2009, 12 (03): : C33 - C64
  • [23] On multicollinearity and the value of the shape parameter in the term structure Nelson-Siegel model
    Leon, Angel
    Rubia, Antonio
    Sanchis-Marco, Lidia
    [J]. AESTIMATIO-THE IEB INTERNATIONAL JOURNAL OF FINANCE, 2018, (16): : 8 - 29
  • [24] Harvesting the volatility smile in a large emerging market: A Dynamic Nelson-Siegel approach
    Kumar, Sudarshan
    Agarwalla, Sobhesh Kumar
    Varma, Jayanth R.
    Virmani, Vineet
    [J]. JOURNAL OF FUTURES MARKETS, 2023, 43 (11) : 1615 - 1644
  • [25] Forecasting US Yield Curve Using the Dynamic Nelson-Siegel Model with Random Level Shift Parameters
    Luo, Deqing
    Pang, Tao
    Xu, Jiawen
    [J]. ECONOMIC MODELLING, 2021, 94 : 340 - 350
  • [26] Nelson-Siegel decay factor and term premia in Japan
    Koeda, Junko
    Sekine, Atsushi
    [J]. JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES, 2022, 64
  • [27] Yield Curve Modelling with the Nelson-Siegel Method for Poland
    Kostyra, Tomasz P.
    [J]. GOSPODARKA NARODOWA-THE POLISH JOURNAL OF ECONOMICS, 2022, 310 (02): : 44 - 56
  • [28] THE NELSON-SIEGEL MODEL OF THE TERM STRUCTURE OF OPTION IMPLIED VOLATILITY AND VOLATILITY COMPONENTS
    Guo, Biao
    Han, Qian
    Zhao, Bin
    [J]. JOURNAL OF FUTURES MARKETS, 2014, 34 (08) : 788 - 806
  • [29] Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models
    Yu, Wei-Choun
    Zivot, Eric
    [J]. INTERNATIONAL JOURNAL OF FORECASTING, 2011, 27 (02) : 579 - 591
  • [30] Forecasting CDS Term Structure Based on Nelson-Siegel Model and Machine Learning
    Kim, Won Joong
    Jung, Gunho
    Choi, Sun-Yong
    [J]. COMPLEXITY, 2020, 2020
12345