Vergleich statistischer Zinsmodelle

Scheck, Dominik

Vergleich statistischer Zinsmodelle

Files

start.pdf(607.08 KB)

Date

2001

Authors

Scheck, Dominik

Title in another language

Models for term structure estimation - an empirical comparison

Publication type

Diploma thesis

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

Cite This

ISO 690

SCHECK, 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>