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Comparing different methods for the estimation of interbank intraday yield curves

Vahidin Jeleskovic () and Anastasios Demertzidis ()
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Vahidin Jeleskovic: University of Kassel
Anastasios Demertzidis: University of Kassel

MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: In this paper, we compare three different models, namely the Nelson- Siegel model, the Svensson model and the Diebold- Li model, for the estimation of an intraday yield curve on the Italian interbank credit market e-MID. Using a sample which spans from October 2005 until March 2010, the first important finding is that all three models are highly suitable for the estimation of an intraday yield curve providing superior empirical results when compared with similar works on e-MID. The second important finding is that, based on different in sample statistics, the Svensson model dominates the other two models before, during and after the financial crisis from 2007. Moreover, the Nelson- Siegel model seems to dominate the Diebold- Li model although these differences in goodness-of-fit between these two models may not be statistically significant.

Keywords: Interbank credit market; e-MID; intraday yield curve; Nelson-Siegel model; Svensson model; Diebold- Li model (search for similar items in EconPapers)
JEL-codes: C12 C13 E43 G01 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2018
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