Artikel
Parametric yield curve modeling in an illiquid and undeveloped financial market
This paper examines the possibility of applying two most popular parametric yield curve models (Nelson-Siegel and Svensson) in the Croatian financial market. In such an illiquid and undeveloped financial market yield curve modeling presents a special challenge primarily regarding the available market data. The use of the yield curve models is limited compared to the developed markets and the interpretation of the resulting yield curves requires much more cautiousness. However this paper clearly shows that the yield curve model is able to capture changes in the business cycle according to the macroeconomic theory and therefore provide valuable information to the financial industry and other economic subjects. It also suggests that the Svensson model which is an extension of the Nelson-Siegel model (and is therefore often preferred over the Nelson-Siegel model in the developed markets) suffers from overparameterization in the illiquid and undeveloped Croatian financial market.
- Sprache
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Englisch
- Erschienen in
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Journal: UTMS Journal of Economics ; ISSN: 1857-6982 ; Volume: 4 ; Year: 2013 ; Issue: 3 ; Pages: 243-252 ; Skopje: University of Tourism and Management
- Klassifikation
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
- Thema
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parametric yield curve models
illiquidity
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Zoricic, Davor
Orsag, Silvije
- Ereignis
-
Veröffentlichung
- (wer)
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University of Tourism and Management
- (wo)
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Skopje
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Zoricic, Davor
- Orsag, Silvije
- University of Tourism and Management
Entstanden
- 2013
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