The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead, making difficult to estimate the future zero-coupon yiel...

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Autores:
Tipo de recurso:
Fecha de publicación:
2014
Institución:
Universidad de Medellín
Repositorio:
Repositorio UDEM
Idioma:
eng
OAI Identifier:
oai:repository.udem.edu.co:11407/1381
Acceso en línea:
http://hdl.handle.net/11407/1381
Palabra clave:
Dynamic estimation
Kalman filter
Term structure
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restrictedAccess
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http://purl.org/coar/access_right/c_16ec
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spelling 2015-10-09T13:18:22Z2015-10-09T13:18:22Z201420771886http://hdl.handle.net/11407/138110.1016/j.jefas.2014.07.001The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead, making difficult to estimate the future zero-coupon yield curve. Taking into account the importance of having an estimation of the term structure for the valuation of financial assets in the Colombian market, this research proposes a methodology to estimate in a dynamic form the parameters of interest rates in the Nelson and Siegel Model. This required the use of the re-parameterization proposed by Diebold and Li (2006), which determines the shape of the term structure through latent factors such as level, slope and curvature. This paper aims to show the dynamic estimation of the term structure of interest rate using the Kalman filter methodology framed in State - space. Results show that predictions are successful for more than one period in the future. © 2014 Universidad ESAN.engElsevier Doymahttp://www.sciencedirect.com/science/article/pii/S2077188614000237Journal of Economics, Finance and Administrative Science, diciembre de 2014, volume19, issue 37, pp 70-77ScopusArticleinfo:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1info:eu-repo/semantics/restrictedAccesshttp://purl.org/coar/access_right/c_16ecFinancial Engineer, Universidad de Medellin, ColombiaBusiness Manager and Specialist in Finance, Universidad EAFIT, ColombiaHEC Montreal and Universidad Eafit, ColombiaEconomics and Finance School, Universidad EAFIT, ColombiaCastano R.M.Rueda N.Z.Robayo J.O.P.Dynamic estimationKalman filterTerm structureDynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter11407/1381oai:repository.udem.edu.co:11407/13812020-05-27 16:37:01.529Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.co
dc.title.english.eng.fl_str_mv Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter
dc.contributor.affiliation.spa.fl_str_mv Financial Engineer, Universidad de Medellin, Colombia
Business Manager and Specialist in Finance, Universidad EAFIT, Colombia
HEC Montreal and Universidad Eafit, Colombia
Economics and Finance School, Universidad EAFIT, Colombia
dc.subject.keyword.eng.fl_str_mv Dynamic estimation
Kalman filter
Term structure
topic Dynamic estimation
Kalman filter
Term structure
spellingShingle Dynamic estimation
Kalman filter
Term structure
description The official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead, making difficult to estimate the future zero-coupon yield curve. Taking into account the importance of having an estimation of the term structure for the valuation of financial assets in the Colombian market, this research proposes a methodology to estimate in a dynamic form the parameters of interest rates in the Nelson and Siegel Model. This required the use of the re-parameterization proposed by Diebold and Li (2006), which determines the shape of the term structure through latent factors such as level, slope and curvature. This paper aims to show the dynamic estimation of the term structure of interest rate using the Kalman filter methodology framed in State - space. Results show that predictions are successful for more than one period in the future. © 2014 Universidad ESAN.
publishDate 2014
dc.date.created.none.fl_str_mv 2014
dc.date.accessioned.none.fl_str_mv 2015-10-09T13:18:22Z
dc.date.available.none.fl_str_mv 2015-10-09T13:18:22Z
dc.type.eng.fl_str_mv Article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.identifier.issn.none.fl_str_mv 20771886
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/11407/1381
dc.identifier.doi.none.fl_str_mv 10.1016/j.jefas.2014.07.001
identifier_str_mv 20771886
10.1016/j.jefas.2014.07.001
url http://hdl.handle.net/11407/1381
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.isversionof.spa.fl_str_mv http://www.sciencedirect.com/science/article/pii/S2077188614000237
dc.relation.ispartofen.eng.fl_str_mv Journal of Economics, Finance and Administrative Science, diciembre de 2014, volume19, issue 37, pp 70-77
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_16ec
dc.rights.accessrights.none.fl_str_mv info:eu-repo/semantics/restrictedAccess
eu_rights_str_mv restrictedAccess
rights_invalid_str_mv http://purl.org/coar/access_right/c_16ec
dc.publisher.spa.fl_str_mv Elsevier Doyma
dc.source.spa.fl_str_mv Scopus
institution Universidad de Medellín
repository.name.fl_str_mv Repositorio Institucional Universidad de Medellin
repository.mail.fl_str_mv repositorio@udem.edu.co
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