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Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model
Exterkate, P. / Groenen, P.J.F. / Heij, C. / van Dijk, D.J.C.
econometrics / interest ratesResource overview

Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model

Paper2010

by Exterkate, P., Groenen, P.J.F., Heij, C., van Dijk, D.J.C.

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econometricsinterest rates

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Suggested foundations for rates and fixed income and financial time series. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  4. Linear Regression

    Read the fitted relationship and its residuals.

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  1. Bootstrapping the Spot Curve from Market Instruments

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  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

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  3. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

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Exterkate, P., Groenen, P.J.F., Heij, C., van Dijk, D.J.C.

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