Vergleich statistischer Zinsmodelle
Vergleich statistischer Zinsmodelle
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Date
2001
Authors
Scheck, Dominik
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Title in another language
Models for term structure estimation - an empirical comparison
Publication type
Diploma thesis
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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
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ISO 690
SCHECK, Dominik, 2001. Vergleich statistischer Zinsmodelle [Master thesis]BibTex
@mastersthesis{Scheck2001Vergl-12152, year={2001}, title={Vergleich statistischer Zinsmodelle}, author={Scheck, Dominik} }
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