Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis
In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia...
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Universidad del Rosario
2016
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Acceso en línea: | http://repository.urosario.edu.co/handle/10336/11956 |
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ir-10336-119562019-09-19T12:37:54Z Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis Rodriguez Revilla, Cristhian Andres Castro, Carlos Term structure Out-of-sample forecasting Nelson-Siegel model Linear regression Affine models Kalman Filter Root Mean Squared Error Economía financiera Finanzas Negociaciones internacionales Economía internacional In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast. Universidad del Rosario 2016-02-18 2016-05-04T19:10:28Z info:eu-repo/semantics/masterThesis info:eu-repo/semantics/acceptedVersion http://repository.urosario.edu.co/handle/10336/11956 spa http://creativecommons.org/licenses/by-nc-nd/2.5/co/ info:eu-repo/semantics/openAccess application/pdf Universidad del Rosario Maestría en Finanzas Cuantitativas Facultad de Economía instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR Diebold, F.X., Li, C., 2006.Forecasting the term structure of government bond yields.Econometrics. 130, pp. 337-364. |
institution |
EdocUR - Universidad del Rosario |
collection |
DSpace |
language |
Español (Spanish) |
topic |
Term structure Out-of-sample forecasting Nelson-Siegel model Linear regression Affine models Kalman Filter Root Mean Squared Error Economía financiera Finanzas Negociaciones internacionales Economía internacional |
spellingShingle |
Term structure Out-of-sample forecasting Nelson-Siegel model Linear regression Affine models Kalman Filter Root Mean Squared Error Economía financiera Finanzas Negociaciones internacionales Economía internacional Rodriguez Revilla, Cristhian Andres Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis |
description |
In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast. |
author2 |
Castro, Carlos |
author_facet |
Castro, Carlos Rodriguez Revilla, Cristhian Andres |
format |
Tesis de maestría (Master Thesis) |
author |
Rodriguez Revilla, Cristhian Andres |
author_sort |
Rodriguez Revilla, Cristhian Andres |
title |
Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis |
title_short |
Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis |
title_full |
Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis |
title_fullStr |
Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis |
title_full_unstemmed |
Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis |
title_sort |
estimating and forecasting the term structure of interest rates:us and colombia analysis |
publisher |
Universidad del Rosario |
publishDate |
2016 |
url |
http://repository.urosario.edu.co/handle/10336/11956 |
_version_ |
1645141077227732992 |
score |
12,131701 |