Disentangling the yield curve: a global dynamic Nelson-Siegel approach
Mellara, Emanuele (A.A. 2023/2024) Disentangling the yield curve: a global dynamic Nelson-Siegel approach. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 61. [Master's Degree Thesis]
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Abstract/Index
Modeling framework. Single-country model. State-space model. Global dynamic Nelson-Siegel model. Global factor dynamics. Country-specific model. Data analysis. Preliminary analysis. Yield curve statistics. Yield curve analysis. Estimating the single country factors. Factor model representation. Statistical meaning of the OLS regressions. Comparing the LRM and SSM. Estimating the global factors. Co-integrated yields. Factors’ commonality. Application of PCA to extract global factors. Global factors chart. Global factors dynamics. Impact of the global factors to the single country factors. Influence on single-country factors. Variance decomposition. Idiosyncratic components. Residual yield curves. Analysis of the macro-variables. Seemingly uncorrelated regressions. Estimation of gamma coefficients. Wald test.
References
Bibliografia: pp. 59-61.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Traficante, Guido |
| Academic Year: | 2023/2024 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 06 May 2025 09:35 |
| Last Modified: | 06 May 2025 09:35 |
| URI: | https://tesi.luiss.it/id/eprint/41951 |
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