Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/200695 
Title: 

Comparing different methods for the estimation of interbank intraday yield curves

The document was removed on behalf of the author(s)/ the editor(s).

Year of Publication: 
2018
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics No. 39-2018
Publisher: 
Philipps-University Marburg, School of Business and Economics, Marburg
Abstract: 
In this paper, we compare three different models, namely the Nelson-Siegel model, the Svensson model and the Diebold-Li model, for the estimation of an intraday yield curve on the Italian interbank credit market e-MID. Using a sample which spans from October 2005 until March 2010, the first important finding is that all three models are highly suitable for the estimation of an intraday yield curve providing superior empirical results when compared with similar works on e-MID. The second important finding is that, based on different in sample statistics, the Svensson model dominates the other two models before, during and after the financial crisis from 2007. Moreover, the Nelson-Siegel model seems to dominate the Diebold-Li model although these differences in goodness-of-fit between these two models may not be statistically significant.
Subjects: 
Interbank credit market
e-MID
intraday yield curve
Nelson-Siegel model
Svensson model
Diebold-Li model
JEL: 
C12
C13
E43
G01
Document Type: 
Working Paper

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The document was removed on behalf of the author(s)/ the editor(s) on: October 21, 2019


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