Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/48652
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dc.contributor.authorHewicker, Haralden_US
dc.contributor.authorCremers, Heinzen_US
dc.date.accessioned2011-07-21en_US
dc.date.accessioned2011-07-29T15:28:46Z-
dc.date.available2011-07-29T15:28:46Z-
dc.date.issued2011en_US
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_US
dc.language.isogeren_US
dc.publisher|aFrankfurt School of Finance & Management |cFrankfurt, M.en_US
dc.relation.ispartofseries|aWorking paper series // Frankfurt School of Finance & Management |x165en_US
dc.subject.jelC52en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordyield curveen_US
dc.subject.keywordzero curveen_US
dc.subject.keywordmodelingen_US
dc.subject.keywordbootstrappingen_US
dc.subject.keywordNelson/Siegelen_US
dc.subject.keywordSvenssonen_US
dc.subject.keywordDiebold/Lien_US
dc.subject.keywordbucketingen_US
dc.subject.keywordinterpolationen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwZinsstrukturtheorieen_US
dc.subject.stwAbzinsungen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwÖffentliche Anleiheen_US
dc.subject.stwDeutschlanden_US
dc.titleModellierung von Zinsstrukturkurvenen_US
dc.typeWorking Paperen_US
dc.identifier.ppn664523366en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:fsfmwp:165-

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