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https://hdl.handle.net/10419/48652
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Hewicker, Harald | en |
dc.contributor.author | Cremers, Heinz | en |
dc.date.accessioned | 2011-07-21 | - |
dc.date.accessioned | 2011-07-29T15:28:46Z | - |
dc.date.available | 2011-07-29T15:28:46Z | - |
dc.date.issued | 2011 | - |
dc.identifier.uri | http://hdl.handle.net/10419/48652 | - |
dc.description.abstract | Being 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.iso | ger | en |
dc.publisher | |aFrankfurt School of Finance & Management |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aFrankfurt School - Working Paper Series |x165 | en |
dc.subject.jel | C52 | en |
dc.subject.jel | G12 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | yield curve | en |
dc.subject.keyword | zero curve | en |
dc.subject.keyword | modeling | en |
dc.subject.keyword | bootstrapping | en |
dc.subject.keyword | Nelson/Siegel | en |
dc.subject.keyword | Svensson | en |
dc.subject.keyword | Diebold/Li | en |
dc.subject.keyword | bucketing | en |
dc.subject.keyword | interpolation | en |
dc.subject.stw | Zinsstruktur | en |
dc.subject.stw | Zinsstrukturtheorie | en |
dc.subject.stw | Abzinsung | en |
dc.subject.stw | Theorie | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | Öffentliche Anleihe | en |
dc.subject.stw | Deutschland | en |
dc.title | Modellierung von Zinsstrukturkurven | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 664523366 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:fsfmwp:165 | en |
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