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Comparing different methods for the estimation of interbank intraday yield curves
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 import...
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| Publicado no: | MAGKS - Joint Discussion Paper Series in Economics (Band 39-2018) |
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| Principais autores: | , |
| Formato: | Artigo |
| Idioma: | inglês |
| Publicado em: |
Philipps-Universität Marburg
2018
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| Assuntos: | |
| Acesso em linha: | Texto Completo em Formato PDF |
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| Resumo: | 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. |
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| Descrição Física: | 39 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0593 |