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Swedish Bonds Term Structure Modeling with the Nelson Siegel Model

Senghore, Malick (2013) MASY01 20131
Mathematical Statistics
Abstract (Swedish)
The purpose of this thesis is to study and model the term structure of
Swedish government bonds. The emergence of the bonds market in Swedish
is described and a brief introduction to interest rate theory given. For
completeness, linear and dynamic time series models including state
space representation and the Kalman filter are also described. The term
structure of Swedish government bonds is model by using the dynamic
representation of the three-factor Nelson Siegel model (1997), that was
proposed by Diebold and Li (2006). The Diebold and Li (2006) two-step
approach of the three-factor model, where the decay parameter is fixed
to a specific value and ordinary least squares used to estimate the
model coefficients, which in turn... (More)
The purpose of this thesis is to study and model the term structure of
Swedish government bonds. The emergence of the bonds market in Swedish
is described and a brief introduction to interest rate theory given. For
completeness, linear and dynamic time series models including state
space representation and the Kalman filter are also described. The term
structure of Swedish government bonds is model by using the dynamic
representation of the three-factor Nelson Siegel model (1997), that was
proposed by Diebold and Li (2006). The Diebold and Li (2006) two-step
approach of the three-factor model, where the decay parameter is fixed
to a specific value and ordinary least squares used to estimate the
model coefficients, which in turn are model by a time series model to
obtain their dynamics, was applied to Swedish government bonds. The
results obtained shows that this approach model and fit well the yields
on Swedish government bonds. (Less)
Please use this url to cite or link to this publication:
author
Senghore, Malick
supervisor
organization
course
MASY01 20131
year
type
M2 - Bachelor Degree
subject
language
English
id
3558767
date added to LUP
2013-02-26 14:33:23
date last changed
2013-04-08 15:34:51
@misc{3558767,
  abstract     = {The purpose of this thesis is to study and model the term structure of
Swedish government bonds. The emergence of the bonds market in Swedish
is described and a brief introduction to interest rate theory given. For
completeness, linear and dynamic time series models including state
space representation and the Kalman filter are also described. The term
structure of Swedish government bonds is model by using the dynamic
representation of the three-factor Nelson Siegel model (1997), that was
proposed by Diebold and Li (2006). The Diebold and Li (2006) two-step
approach of the three-factor model, where the decay parameter is fixed
to a specific value and ordinary least squares used to estimate the
model coefficients, which in turn are model by a time series model to
obtain their dynamics, was applied to Swedish government bonds. The
results obtained shows that this approach model and fit well the yields
on Swedish government bonds.},
  author       = {Senghore, Malick},
  language     = {eng},
  note         = {Student Paper},
  title        = {Swedish Bonds Term Structure Modeling with the Nelson Siegel Model},
  year         = {2013},
}