Swedish Bonds Term Structure Modeling with the Nelson Siegel Model
(2013) MASY01 20131Mathematical Statistics
 Abstract (Swedish)
 The purpose of this thesis is to study and model the term structure of
Swedish government bonds. The emergence of the bonds market in Swedish
is described and a brief introduction to interest rate theory given. For
completeness, linear and dynamic time series models including state
space representation and the Kalman filter are also described. The term
structure of Swedish government bonds is model by using the dynamic
representation of the threefactor Nelson Siegel model (1997), that was
proposed by Diebold and Li (2006). The Diebold and Li (2006) twostep
approach of the threefactor model, where the decay parameter is fixed
to a specific value and ordinary least squares used to estimate the
model coefficients, which in turn... (More)  The purpose of this thesis is to study and model the term structure of
Swedish government bonds. The emergence of the bonds market in Swedish
is described and a brief introduction to interest rate theory given. For
completeness, linear and dynamic time series models including state
space representation and the Kalman filter are also described. The term
structure of Swedish government bonds is model by using the dynamic
representation of the threefactor Nelson Siegel model (1997), that was
proposed by Diebold and Li (2006). The Diebold and Li (2006) twostep
approach of the threefactor model, where the decay parameter is fixed
to a specific value and ordinary least squares used to estimate the
model coefficients, which in turn are model by a time series model to
obtain their dynamics, was applied to Swedish government bonds. The
results obtained shows that this approach model and fit well the yields
on Swedish government bonds. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/studentpapers/record/3558767
 author
 Senghore, Malick
 supervisor

 Magnus Wiktorsson ^{LU}
 organization
 course
 MASY01 20131
 year
 2013
 type
 M2  Bachelor Degree
 subject
 language
 English
 id
 3558767
 date added to LUP
 20130226 14:33:23
 date last changed
 20130408 15:34:51
@misc{3558767, abstract = {The purpose of this thesis is to study and model the term structure of Swedish government bonds. The emergence of the bonds market in Swedish is described and a brief introduction to interest rate theory given. For completeness, linear and dynamic time series models including state space representation and the Kalman filter are also described. The term structure of Swedish government bonds is model by using the dynamic representation of the threefactor Nelson Siegel model (1997), that was proposed by Diebold and Li (2006). The Diebold and Li (2006) twostep approach of the threefactor model, where the decay parameter is fixed to a specific value and ordinary least squares used to estimate the model coefficients, which in turn are model by a time series model to obtain their dynamics, was applied to Swedish government bonds. The results obtained shows that this approach model and fit well the yields on Swedish government bonds.}, author = {Senghore, Malick}, language = {eng}, note = {Student Paper}, title = {Swedish Bonds Term Structure Modeling with the Nelson Siegel Model}, year = {2013}, }