离散时间无套利的 Nelson-Siegel 模型：封闭式解法及混合基金表示法的应用

IF 1.5 Q3 BUSINESS, FINANCE

Annals of Actuarial Science Pub Date : 2024-02-12 DOI:10.1017/s1748499524000010

Ramin Eghbalzadeh, Frédéric Godin, Patrice Gaillardetz

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引用次数: 0

摘要

通过离散时间无套利的 Nelson-Siegel 模型版本，获得了零息债券的闭式解。提供了一个依赖卡尔曼滤波器的估计程序。结果表明，该模型在应用于加拿大现货利率历史数据时能产生足够的拟合度，并比基准模型提高了分布预测性能。对 Augustyniak 等人的混合基金回报模型进行了调整（2021 年）。ASTIN Bulletin：ASTIN Bulletin: The Journal of the IAA, 51(1), 131-159.) 中的混合基金回报模型进行了改编，将离散时间无套利的 Nelson-Siegel 模型作为其构建模块之一。

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The discrete-time arbitrage-free Nelson-Siegel model: a closed-form solution and applications to mixed funds representation

A closed-form solution for zero-coupon bonds is obtained for a version of the discrete-time arbitrage-free Nelson-Siegel model. An estimation procedure relying on a Kalman filter is provided. The model is shown to produce adequate fit when applied to historical Canadian spot rate data and to improve distributional predictive performance over benchmarks. An adaptation of the mixed fund return model from Augustyniak et al. ((2021). ASTIN Bulletin: The Journal of the IAA, 51(1), 131–159.) is also provided to include the discrete-time arbitrage-free Nelson-Siegel model as one of its building blocks.

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来源期刊

Annals of Actuarial Science ECONOMICS-

CiteScore

3.10

自引率

5.90%

发文量