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Modeling Swedish government yields with the Dynamic Nelson Siegel and the Dynamic Nelson Siegel Svensson Model

Senghore, Malick (2013) MASM01 20131
Mathematical 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, Arbitrage-Free 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 arbitrage-free 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, Arbitrage-Free 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 arbitrage-free 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 cross-sectional and time-series 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 in-sample (Less)
Please use this url to cite or link to this publication:
author
Senghore, Malick
supervisor
organization
course
MASM01 20131
year
type
H2 - Master's Degree (Two Years)
subject
language
English
id
3971294
date added to LUP
2013-08-12 14:29:57
date last changed
2013-08-12 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, Arbitrage-Free 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 arbitrage-free 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 cross-sectional and time-series 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 in-sample},
  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},
}