Examining the Nelson-Siegel Class of Term Structure Models
Examining the Nelson-Siegel Class of Term Structure Models
复制标题
检查 Nelson-Siegel 类期限结构模型
DOI：
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发表时间：
2007
期刊：
影响因子：
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通讯作者：
M. DePooter
中科院分区：
文献类型：
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作者：
M. DePooter
在本文中，我研究了Nelson和Siegel（1987）模型的各种扩展，目的是拟合和预测利率的期限结构。正如预期的那样，我发现使用更灵活的模型会导致期限结构的样本内拟合更好。然而，我证明了样本外的可预测性也得到了改善。四因子模型在三因子尼尔森-西格尔模型的基础上增加了第二个斜率因子，预测效果特别好。特别是使用一步状态空间估计方法，四因素模型产生准确的预测，并且在成熟度和预测范围上优于竞争对手模型。子样本分析表明，随着时间的推移，这种优异的表现也是一致的。
textabstractIn this paper I examine various extensions of the Nelson and Siegel (1987) model with the purpose of fitting and forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in-sample fit of the term structure. However, I show that the out-of-sample predictability improves as well. The four-factor model, which adds a second slope factor to the three-factor Nelson-Siegel model, forecasts particularly well. Especially with a one-step state-space estimation approach the four-factor model produces accurate forecasts and outperforms competitor models across maturities and forecast horizons. Subsample analysis shows that this outperformance is also consistent over time.