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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Liao Shan |
| Copyright Year | 2011 |
| Abstract | In this paper, the importance of curvature term structure movements on fitting and forecasting of interest rates term structure is analyzed. An extension of the exponential three-factor Dynamic Nelson-Siegel model-Dynamic Four Shape Factors model is proposed based on the Shape Factors Framework, where a fourth factor captures a second type of curvature. The new factor enhances model ability to generate volatility and to capture nonlinearities in the yield curve, which leads to a significant improvement of fitting and forecasting ability. The model is tested against the original Dynamic Nelson-Siegel model and some other benchmarks. Based on a fitting and forecasting experiment with Shanghai Security Exchange's fixed income data, it obtains significantly lower root mean square errors under three different forecasting horizons. |
| Starting Page | 468 |
| Ending Page | 471 |
| File Size | 230079 |
| Page Count | 4 |
| File Format | |
| ISBN | 9781612844503 |
| DOI | 10.1109/ICIII.2011.119 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2011-11-26 |
| Publisher Place | China |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Economic indicators Shape Fitting Dynamic Nelson-Siegel model Predictive models Dynamic Four Shape Factors model Data models forecast interest rates term structure Forecasting Load modeling |
| Content Type | Text |
| Resource Type | Article |
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