Forecasting the Yield Curve with Nelson-Siegel Model: Chinese Evidence

Zhanyi Zhang ()
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Zhanyi Zhang: Yunnan University, School of Economics

A chapter in Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022), 2023, pp 283-290 from Springer

Abstract: Abstract The Dynamic Nelson-Siegel model is commonly used to forecast interest rate curves, but the way its parameters are estimated has so far been an issue worth investigating. In this paper, the performance of state space model is compared with that of two-step method in estimating parameters. Based on Chinese government bond data, this paper explores whether state space model has higher forecasting progress and better forecasting performance.

Keywords: interest rate term structure; Dynamic Nelson-Siegel model; state space model (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-054-1_32

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DOI: 10.2991/978-94-6463-054-1_32

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