Forecasting the Yield Curve with Nelson-Siegel Model: Chinese Evidence

DOI

10.2991/978-94-6463-054-1_32How to use a DOI?

Keywords

interest rate term structure; Dynamic Nelson-Siegel model; state space model

Abstract

The Dynamic Nelson-Siegel model is commonly used to forecast interest rate curves, but the way its parameters are estimated has so far been an issue worth investigating. In this paper, the performance of state space model is compared with that of two-step method in estimating parameters. Based on Chinese government bond data, this paper explores whether state space model has higher forecasting progress and better forecasting performance.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Zhanyi Zhang
PY  - 2022
DA  - 2022/12/14
TI  - Forecasting the Yield Curve with Nelson-Siegel Model: Chinese Evidence
BT  - Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022)
PB  - Atlantis Press
SP  - 283
EP  - 290
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-054-1_32
DO  - 10.2991/978-94-6463-054-1_32
ID  - Zhang2022
ER  -