A Hybrid Spline-Based Parametric Model for the Real Yield Curve

2017 ◽  
Author(s):  
Adriano Faria ◽  
Caio Almeida
Keyword(s):  
Yield Curve ◽  
Parametric Model ◽  
The Real

Understanding the Real Rate Conundrum: An Application of No-Arbitrage Models to the UK Real Yield Curve*

2011 ◽  
Vol 16 (3) ◽  
pp. 837-866 ◽  
Author(s):  
Michael A. S. Joyce ◽  
Iryna Kaminska ◽  
Peter Lildholdt
Keyword(s):  
Yield Curve ◽  
Real Rate ◽  
No Arbitrage ◽  
The Real ◽  
The Uk

scholarly journals Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve

2016 ◽  
Vol 62 (2) ◽  
pp. 42-50 ◽  
Author(s):  
Eva Lorenčič
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Financial Market ◽  
Real World ◽  
Yield Curve ◽  
Cubic Splines ◽  
Medium Term ◽  
Government Bonds ◽  
The Real ◽  
The Relationship

Abstract Understanding the relationship between interest rates and term to maturity of securities is a prerequisite for developing financial theory and evaluating whether it holds up in the real world; therefore, such an understanding lies at the heart of monetary and financial economics. Accurately fitting the term structure of interest rates is the backbone of a smoothly functioning financial market, which is why the testing of various models for estimating and predicting the term structure of interest rates is an important topic in finance that has received considerable attention for many decades. In this paper, we empirically contrast the performance of cubic splines and the Nelson-Siegel model by estimating the zero-coupon yields of Austrian government bonds. The main conclusion that can be drawn from the results of the calculations is that the Nelson-Siegel model outperforms cubic splines at the short end of the yield curve (up to 2 years), whereas for medium-term maturities (2 to 10 years) the fitting performance of both models is comparable.

scholarly journals Principles and Criteria for using Statistical Parametric Models and Conditional Models for Valuation of Multi-Component Real Estate

2019 ◽  
Vol 27 (2) ◽  
pp. 33-43
Author(s):  
Tomasz Adamczyk ◽  
Agnieszka Bieda ◽  
Piotr Parzych
Keyword(s):  
Real Estate ◽  
Statistical Models ◽  
Parametric Model ◽  
Real Estate Market ◽  
Comparative Approach ◽  
The Real ◽  
The Real Estate ◽  
Real Estate Valuation ◽  
Conditional Models ◽  
Valuation Process

Abstract The complexity of multi-component real properties results from the possibility of identifying various components in legal, physical or functional terms. The possibility of distinguishing various functional elements of real properties, combined with the specificity resulting from their market properties, is problematic when applying the comparative approach to real estate valuation. In this case, the valuation procedure can be implemented using statistical models: the parametric model or the conditional one. This research paper demonstrates the construction of the parametric and conditional models taking into account the geometric and pricing attributes of multi-component real estate. The authors paid attention to adjusting the models to the available market data. They also specified the conditions for the use of statistical models in the real estate valuation process. Based on the analytical and accounting considerations, the estimation criteria for the parametric model and the conditional model were defined, which allow the correct application of these models at the stages of the real estate market analysis and the real estate valuation process.

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