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

Dipartimento di Studi per l'Economia e l'Impresa

Risultato della ricerca: Capitolo in libro/report/atti di convegno › Contributo in volume (Capitolo o Saggio) › 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.

Lingua originale	Inglese
Titolo della pubblicazione ospite	New Perspectives in Mathematical and Statistical Methods for Actuarial Sciences and Finance
Editore	SPRINGER
Pagine	179-189
Numero di pagine	11
ISBN (stampa)	9783032055507
DOI	https://doi.org/10.1007/978-3-032-05551-4_16
Stato di pubblicazione	Pubblicato - 2026

Keywords

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

Accesso al documento

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

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

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Parameter Stability in Yield Curve Fitting

Abstract

Keywords

Accesso al documento

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