Yield curve estimation: a comparison of methods and the applications in Polish market

• Autorzy: Ewa Dziwok
• Języki publikacji: EN

Abstrakty

EN

A yield curve, understood as a plot of financial instruments' yields against their maturities, has started to play an important role in financial markets. Term structure modeling is a process of building a continuous function from the market data, both securities and interest rate derivatives. The construction uses generally two types of models: parametric ones (evaluated by Nelson, Siegel and Svensson) and based on B-splines (cubic splines). Both types give a lot of possibilities for further analysis especially for monetary policy end forecasting. The first aim of the article is to compare the methods of estimation depending on the source of data (least square methods based on rates and prices will be taken into account). The inefficiency of Polish financial market and lack of data suggests being very careful when choosing a model. This is why the second purpose is to find the best type of model for fitting the yield curve in the case of'the minimizing method.(fragment of text)

Słowa kluczowe

EN

Financial instruments; Comparative examination; Financial markets; Estimation

PL

Instrumenty finansowe; Badania porównawcze; Rynki finansowe; Estymacja

• Czasopismo: Scientific Publications / University of Economics in Katowice
• Rocznik: 2010
• Tom: Survey sampling methods in economic and social research
• Strony: 121--130

Twórcy

autor

Ewa Dziwok

• University of Economics in Katowice, Poland

Bibliografia

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