Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/48652 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorHewicker, Haralden
dc.contributor.authorCremers, Heinzen
dc.date.accessioned2011-07-21-
dc.date.accessioned2011-07-29T15:28:46Z-
dc.date.available2011-07-29T15:28:46Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/48652-
dc.description.abstractBeing able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a yield-based approach. This paper examines if a discount factor based bucketing approach provides more suitable results. Both methods are put to the test using German government bond data ranging from 1999 - 2010. The results reveal that the bucketing model is able to yield slightly more accurate results in general. Furthermore the findings are superior in market situations with a very twisted yield curve compared to the Nelson/Siegel model. The bucketing approach, however, has problems in conditions with very steep hikes at the short end of the yield curve and with markets in which only very few bonds can be observed.en
dc.language.isogeren
dc.publisher|aFrankfurt School of Finance & Management |cFrankfurt a. M.en
dc.relation.ispartofseries|aFrankfurt School - Working Paper Series |x165en
dc.subject.jelC52en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordyield curveen
dc.subject.keywordzero curveen
dc.subject.keywordmodelingen
dc.subject.keywordbootstrappingen
dc.subject.keywordNelson/Siegelen
dc.subject.keywordSvenssonen
dc.subject.keywordDiebold/Lien
dc.subject.keywordbucketingen
dc.subject.keywordinterpolationen
dc.subject.stwZinsstrukturen
dc.subject.stwZinsstrukturtheorieen
dc.subject.stwAbzinsungen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwÖffentliche Anleiheen
dc.subject.stwDeutschlanden
dc.titleModellierung von Zinsstrukturkurven-
dc.typeWorking Paperen
dc.identifier.ppn664523366en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:fsfmwp:165en

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.