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master's thesis
Yield Curve Modeling And Estimation
2024. urn:nbn:hr:126:054359
Botkuljak, Juraj
Josip Juraj Strossmayer University of Osijek
School of Applied Mathematics and Informatics

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Botkuljak, J. (2024). Yield Curve Modeling And Estimation (Master's thesis). Osijek: Josip Juraj Strossmayer University of Osijek, School of Applied Mathematics and Informatics. Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:054359

Botkuljak, Juraj. "Yield Curve Modeling And Estimation." Master's thesis, Josip Juraj Strossmayer University of Osijek, School of Applied Mathematics and Informatics, 2024. https://urn.nsk.hr/urn:nbn:hr:126:054359

Botkuljak, Juraj. "Yield Curve Modeling And Estimation." Master's thesis, Josip Juraj Strossmayer University of Osijek, School of Applied Mathematics and Informatics, 2024. https://urn.nsk.hr/urn:nbn:hr:126:054359

Botkuljak, J. (2024). 'Yield Curve Modeling And Estimation', Master's thesis, Josip Juraj Strossmayer University of Osijek, School of Applied Mathematics and Informatics, accessed 01 April 2025, https://urn.nsk.hr/urn:nbn:hr:126:054359

Botkuljak J. Yield Curve Modeling And Estimation [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, School of Applied Mathematics and Informatics; 2024 [cited 2025 April 01] Available at: https://urn.nsk.hr/urn:nbn:hr:126:054359

J. Botkuljak, "Yield Curve Modeling And Estimation", Master's thesis, Josip Juraj Strossmayer University of Osijek, School of Applied Mathematics and Informatics, Osijek, 2024. Available at: https://urn.nsk.hr/urn:nbn:hr:126:054359

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Metadata
TitleYield Curve Modeling And Estimation
Title (croatian)Modeliranje i procjena krivulje prinosa
AuthorJuraj Botkuljak
MentorDanijel Grahovac (mentor)
Committee memberNenad Šuvak (predsjednik povjerenstva)
Committee memberDanijel Grahovac (član povjerenstva)
Committee memberMirta Benšić (član povjerenstva)
GranterJosip Juraj Strossmayer University of Osijek
School of Applied Mathematics and Informatics
Osijek
Defense date and country2024-04-24, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Financial and Business Mathematics
Abstract
The European Central Bank (ECB) relies on the timely availability of high-quality financial market indicators to facilitate data-driven decision-making. Gauges of interest rate dynamics are of particular interest to the central bank, given their relevance for monetary policy and financial stability. By capturing the term structure of interest rates, zero-coupon yield curves serve as the key barometer of market expectations of monetary policy, economic growth, and inflation. Correspondingly, ... More the prevailing practice among major central banks, including the ECB, is to maintain an internal system for estimating yield curves. This thesis aims to contribute to three areas relevant to implementing such systems. First, a natural generalization of the Nelson-Siegel model based on Laguerre polynomials is evaluated as an alternative to the popular Svensson extension. The evidence from the conducted evaluation study points to several theoretical and empirical arguments in favor of such an approach, particularly in the areas of model stability, flexibility, and out-of-sample forecasting performance. Second, the empirical study evaluates the nature of the trade-off between goodness-of-fit and model stability resulting from applying different methodologies to estimating the nonlinear decay parameter. Finally, a computationally efficient method based on iterated least-squares is considered for fitting the zero-coupon yield curve to a sample containing fixedcoupon bonds, under a fixed nonlinear decay parameter. The method provides an alternative to the common practice of minimizing either yield-to-maturity error or (weighted) price error. Less
Keywords
Languageenglish
URN:NBNurn:nbn:hr:126:054359
Study programmeTitle: Mathematics; specializations in: Financial and Statistical Mathematics, Mathematics and Computer Science, Industrial and Applied Mathematics
Course: Financial and Statistical Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2024-04-26 07:37:50
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