Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?
Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?
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广义尼尔森-西格尔期限结构模型:第二个斜率和曲率因子是否改善了样本内拟合和样本外预测?
DOI:
10.1080/02664763.2014.993363
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发表时间:
2015
影响因子:
1.5
通讯作者:
Yoshihiko Tsukuda
中科院分区:
文献类型:
--
作者:
Wali Ullah;Y. Matsuda;Yoshihiko Tsukuda
The dynamic Nelson–Siegel (DNS) model and even the Svensson generalization of the model have trouble in fitting the short maturity yields and fail to grasp the characteristics of the Japanese government bonds yield curve, which is flat at the short end and has multiple inflection points. Therefore, a closely related generalized dynamic Nelson–Siegel (GDNS) model that has two slopes and curvatures is considered and compared empirically to the traditional DNS in terms of in-sample fit as well as out-of-sample forecasts. Furthermore, the GDNS with time-varying volatility component, modeled as standard EGARCH process, is also considered to evaluate its performance in relation to the GDNS. The GDNS model unanimously outperforms the DNS in terms of in-sample fit as well as out-of-sample forecasts. Moreover, the extended model that accounts for time-varying volatility outpace the other models for fitting the yield curve and produce relatively more accurate 6- and 12-month ahead forecasts, while the GDNS model comes with more precise forecasts for very short forecast horizons.
影响因子:
3.4
作者:
Wali Ullah;Yasumasa Matsuda and Yoshihiko Tsukuda
通讯作者:
Yasumasa Matsuda and Yoshihiko Tsukuda
DOI:
--
发表时间:
2013
期刊:
Journal of Forecasting (forthcoming)
影响因子:
--
作者:
Walli Ullah;Yoshihiko Tsukuda and Yasumasa Matsuda
通讯作者:
Yoshihiko Tsukuda and Yasumasa Matsuda