Parameter Stability in Yield Curve Fitting

Lorenzo Mercuri; ANDREA PERCHIAZZO; Edit Rroji; Ilaria Stefani

doi:10.1007/978-3-032-05551-4_16

Parameter Stability in Yield Curve Fitting

Lorenzo Mercuri
, ANDREA PERCHIAZZO
, Edit Rroji
, Ilaria Stefani

Department of Economics and Business Studies

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

We investigate the yield term structure of different countries in order to assess the impact of recent interventions from central banks. We adopt a static approach through the use of the Nelson-Siegel and its extended version named Nelson-Siegel-Svensson model. Empirical results suggest that fitted parameters in the restricted model are more stable across all countries for the period 2020--2025.

Original language	English
Title of host publication	New Perspectives in Mathematical and Statistical Methods for Actuarial Sciences and Finance
Publisher	SPRINGER
Pages	179-189
Number of pages	11
ISBN (Print)	9783032055507
DOIs	https://doi.org/10.1007/978-3-032-05551-4_16
Publication status	Published - 2026

Keywords

Nelson-Siegel
Nelson-Siegel-Svensson
Sovereign bonds
Yield Term Structure

Access to Document

10.1007/978-3-032-05551-4_16

https://hdl.handle.net/11579/225522

Cite this

@inbook{559f61fb092649d4ad0ca38c7bed299d,

title = "Parameter Stability in Yield Curve Fitting",

abstract = "We investigate the yield term structure of different countries in order to assess the impact of recent interventions from central banks. We adopt a static approach through the use of the Nelson-Siegel and its extended version named Nelson-Siegel-Svensson model. Empirical results suggest that fitted parameters in the restricted model are more stable across all countries for the period 2020--2025.",

keywords = "Nelson-Siegel, Nelson-Siegel-Svensson, Sovereign bonds, Yield Term Structure, Nelson-Siegel, Nelson-Siegel-Svensson, Sovereign bonds, Yield Term Structure",

author = "Lorenzo Mercuri and ANDREA PERCHIAZZO and Edit Rroji and Ilaria Stefani",

year = "2026",

doi = "10.1007/978-3-032-05551-4\_16",

language = "English",

isbn = "9783032055507",

pages = "179--189",

booktitle = "New Perspectives in Mathematical and Statistical Methods for Actuarial Sciences and Finance",

publisher = "SPRINGER",

}

TY - CHAP

T1 - Parameter Stability in Yield Curve Fitting

AU - Mercuri, Lorenzo

AU - PERCHIAZZO, ANDREA

AU - Rroji, Edit

AU - Stefani, Ilaria

PY - 2026

Y1 - 2026

N2 - We investigate the yield term structure of different countries in order to assess the impact of recent interventions from central banks. We adopt a static approach through the use of the Nelson-Siegel and its extended version named Nelson-Siegel-Svensson model. Empirical results suggest that fitted parameters in the restricted model are more stable across all countries for the period 2020--2025.

AB - We investigate the yield term structure of different countries in order to assess the impact of recent interventions from central banks. We adopt a static approach through the use of the Nelson-Siegel and its extended version named Nelson-Siegel-Svensson model. Empirical results suggest that fitted parameters in the restricted model are more stable across all countries for the period 2020--2025.

KW - Nelson-Siegel

KW - Nelson-Siegel-Svensson

KW - Sovereign bonds

KW - Yield Term Structure

KW - Nelson-Siegel

KW - Nelson-Siegel-Svensson

KW - Sovereign bonds

KW - Yield Term Structure

UR - https://iris.uniupo.it/handle/11579/225522

U2 - 10.1007/978-3-032-05551-4_16

DO - 10.1007/978-3-032-05551-4_16

M3 - Chapter

SN - 9783032055507

SP - 179

EP - 189

BT - New Perspectives in Mathematical and Statistical Methods for Actuarial Sciences and Finance

PB - SPRINGER

ER -

Parameter Stability in Yield Curve Fitting

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this