Arbeitspapier

Estimating yield curves from swap, BUBOR and FRA data

In this paper we estimate yield curves from Hungarian interest rate swap and money market data. Following general practice, we experiment with several models-differing in the functional form and objective function-and chose the model which performs best according to standard evaluation criteria. We find that the methods perform equally well in terms of residuals and out-of-sample fit; however, the smoothing spline method stands out when we consider the ability to fit the short end of the maturity spectrum, stability of estimation and plausibility of the estimated curves.

Language
Englisch

Bibliographic citation
Series: MNB Occasional Papers ; No. 73

Classification
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Asset Pricing; Trading Volume; Bond Interest Rates
Subject
yield curve
interest rate swaps

Event
Geistige Schöpfung
(who)
Reppa, Zoltán
Event
Veröffentlichung
(who)
Magyar Nemzeti Bank
(where)
Budapest
(when)
2008

Handle
Last update
10.03.2025, 11:41 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Reppa, Zoltán
  • Magyar Nemzeti Bank

Time of origin

  • 2008

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