Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/299017 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 10 [Issue:] 2 [Year:] 2021 [Pages:] 179-200
Verlag: 
Sciendo, Warsaw
Zusammenfassung: 
Following (Almeida, Ardison, Kubudi, Simonsen, & Vicente, 2018) we implement a segmented three factor Nelson-Siegel model for the yield curve using daily observable bond prices and short term interbank rates for Colombia. The flexible estimation for each segment (short, medium, and long) provides an improvement over the classical Nelson-Siegel approach in particular in terms of in-sample and out-of-sample forecasting performance. A segmented term structure model based on observable bond prices provides a tool closer to the needs of practitioners in terms of reproducing the market quotes and allowing for independent local shocks in the different segments of the curve.
Schlagwörter: 
Term structure
Nelson-Siegel
Preferred habitat theory
JEL: 
G12
E43
C53
C58
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