QQ客服 官方微博 反馈留言

	Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications
	Ying Chen ; Linlin Niu
	2013-11-08
出处	http://www.wise.xmu.edu.cn/paperInfor.asp?id=245
关键词	Yield curve term structure of interest rates local parametric models forecasting
英文摘要	We propose an Adaptive Dynamic Nelson-Siegel (ADNS) model to adaptively forecast the yield curve. The model has a simple yet flexible structure and can be safely applied to both stationary and nonstationary situations with different sources of change. For the 3- to 12-months ahead out-of-sample forecasts of the US yield curve from 1998:1 to 2010:9, the ADNS model dominates both the dynamic Nelson-Siegel (DNS) and random walk models, reducing the forecast error measurements by between 30 and 60 percent. The locally estimated coefficients and the identified stable subsamples over time align with policy changes and the timing of the recent financial crisis.
语种	中文
内容类型	研究报告
源URL	[http://dspace.xmu.edu.cn/handle/2288/56860]
专题	王亚南院－工作文稿
推荐引用方式 GB/T 7714	Ying Chen,Linlin Niu   . Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications. 2013.

个性服务

查看访问统计

相关权益政策

暂无数据

收藏/分享

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。