Vergleich statistischer Zinsmodelle

Loading...
Thumbnail Image
Date
2001
Authors
Scheck, Dominik
Editors
Contact
Journal ISSN
Electronic ISSN
ISBN
Bibliographical data
Publisher
Series
DOI (citable link)
ArXiv-ID
International patent number
Link to the license
EU project number
Project
Open Access publication
Restricted until
Title in another language
Models for term structure estimation - an empirical comparison
Research Projects
Organizational Units
Journal Issue
Publication type
Diploma thesis
Publication status
Published in
Abstract
In the theoretical part of my dissertation I introduced several models for estimating the German term structure of interest rates. In the practical part three models including the Nelson/Siegel and the Svensson approach, and a spline model were empirically compared. Possible interpretations from the estimated term structure models are developped and in the practical framework compared. Besides their implications for future interest rates and inflation are investigated.
Summary in another language
In der vorliegenden Arbeit werden im theoretischen Teil die bekannten Verfahren zur Schätzung der deutschen Zinsstrukturkurve vorgestellt. Im praktischen Teil werden drei Modelle an Hand von wöchentlichen Anleihepreisdaten von Januar 1999 bis Dezember 2000 miteinander verglichen. Außerdem werden die Implikationen der geschätzten Kurven für zukünftige Inflationsraten und Zinssätze untersucht.
Subject (DDC)
330 Economics
Keywords
Zinsstrukturkurve,Nelson/Siegel,Svensson,Splines,Implikation
Conference
Review
undefined / . - undefined, undefined. - (undefined; undefined)
Cite This
ISO 690SCHECK, Dominik, 2001. Vergleich statistischer Zinsmodelle [Master thesis]
BibTex
@mastersthesis{Scheck2001Vergl-12152,
  year={2001},
  title={Vergleich statistischer Zinsmodelle},
  author={Scheck, Dominik}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/12152">
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/12152/1/start.pdf"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:rights>terms-of-use</dc:rights>
    <dc:contributor>Scheck, Dominik</dc:contributor>
    <dcterms:abstract xml:lang="eng">In the theoretical part of my dissertation I introduced several models for estimating the German term structure of interest rates. In the practical part three models including the Nelson/Siegel and the Svensson approach, and a spline model were empirically compared. Possible interpretations from the estimated term structure models are developped and in the practical framework compared. Besides their implications for future interest rates and inflation are investigated.</dcterms:abstract>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dcterms:issued>2001</dcterms:issued>
    <dcterms:title>Vergleich statistischer Zinsmodelle</dcterms:title>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:43:02Z</dcterms:available>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:43:02Z</dc:date>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dc:creator>Scheck, Dominik</dc:creator>
    <dcterms:alternative>Models for term structure estimation - an empirical comparison</dcterms:alternative>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/12152"/>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dc:language>deu</dc:language>
    <dc:format>application/pdf</dc:format>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/12152/1/start.pdf"/>
  </rdf:Description>
</rdf:RDF>
Internal note
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Contact
URL of original publication
Test date of URL
Examination date of dissertation
Method of financing
Comment on publication
Alliance license
Corresponding Authors der Uni Konstanz vorhanden
International Co-Authors
Bibliography of Konstanz
Refereed