Modeling Swedish government yields with the Dynamic Nelson Siegel and the Dynamic Nelson Siegel Svensson Model
(2013) MASM01 20131Mathematical Statistics
 Abstract (Swedish)
 The purpose of this thesis is to model and forecast Swedish government yields by
using three classes of the Nelson Siegel Model Family. The three models considered
are the Dynamic Nelson Siegel Model, ArbitrageFree Nelson Siegel Model and Dynamic
Nelson Siegel Svensson Model. A brief introduction to interest rate theory is
given with emphasis on coupon bonds and yield curves. To introduce the concepts
needed for the arbitragefree model, arbitrage theory is introduced. The modeling
framework used in this thesis implements the Kalman Filter, thereby necessitating
introduction of State Space modeling and the derivation of the Kalman Filter.
The Nelson Siegel model classes under study are introduced and an estimation
procedure for... (More)  The purpose of this thesis is to model and forecast Swedish government yields by
using three classes of the Nelson Siegel Model Family. The three models considered
are the Dynamic Nelson Siegel Model, ArbitrageFree Nelson Siegel Model and Dynamic
Nelson Siegel Svensson Model. A brief introduction to interest rate theory is
given with emphasis on coupon bonds and yield curves. To introduce the concepts
needed for the arbitragefree model, arbitrage theory is introduced. The modeling
framework used in this thesis implements the Kalman Filter, thereby necessitating
introduction of State Space modeling and the derivation of the Kalman Filter.
The Nelson Siegel model classes under study are introduced and an estimation
procedure for each model is detailed. In general, all model parameters are estimated
by both crosssectional and timeseries optimization. The method of estimation
employed ensures that we have stable and meaningful estimates. Our modeling
procedure, shows that indeed the independent three factor Dynamic Nelson Siegel
model do represent well Swedish government bonds both insample (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/studentpapers/record/3971294
 author
 Senghore, Malick
 supervisor

 Magnus Wiktorsson ^{LU}
 organization
 course
 MASM01 20131
 year
 2013
 type
 H2  Master's Degree (Two Years)
 subject
 language
 English
 id
 3971294
 date added to LUP
 20130812 14:29:57
 date last changed
 20130812 14:29:57
@misc{3971294, abstract = {The purpose of this thesis is to model and forecast Swedish government yields by using three classes of the Nelson Siegel Model Family. The three models considered are the Dynamic Nelson Siegel Model, ArbitrageFree Nelson Siegel Model and Dynamic Nelson Siegel Svensson Model. A brief introduction to interest rate theory is given with emphasis on coupon bonds and yield curves. To introduce the concepts needed for the arbitragefree model, arbitrage theory is introduced. The modeling framework used in this thesis implements the Kalman Filter, thereby necessitating introduction of State Space modeling and the derivation of the Kalman Filter. The Nelson Siegel model classes under study are introduced and an estimation procedure for each model is detailed. In general, all model parameters are estimated by both crosssectional and timeseries optimization. The method of estimation employed ensures that we have stable and meaningful estimates. Our modeling procedure, shows that indeed the independent three factor Dynamic Nelson Siegel model do represent well Swedish government bonds both insample}, author = {Senghore, Malick}, language = {eng}, note = {Student Paper}, title = {Modeling Swedish government yields with the Dynamic Nelson Siegel and the Dynamic Nelson Siegel Svensson Model}, year = {2013}, }