Empirical Analysis of the EU Term Structure of Interest Rates
Zurab Kotchlamazashvili
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Zurab Kotchlamazashvili, Empirical Analysis of the EU Term Structure of Interest Rates (2014), Logos Verlag, Berlin, ISBN: 9783832595326
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Beschreibung / Abstract
The information about the properties and dynamics of term structure and its modeling hold tremendous interest for financial practitioners and policymakers alike. Accurate forecasting of the term structure of interest rates also plays a very important role for many reasons, particularly for bond portfolio and risk management, hedging derivatives, monetary and debt policy. The present dissertation contains the empirical research for the EU term structure of interest rates. The data analyzed here cover a time series based on the Euro and currencies of other six EU countries. The goal is to examine empirical properties and analyze in-sample and out-of-sample results for corresponding spot rates using 15 competitor GARCH(1,1) models with different distributional assumptions. Alltogether, the work summarizes 1680 x GARCH(1,1) in-sample and over 60000 x GARCH(1,1) out-of-sample estimation results. Moreover, the dissertation consists of 48 figures and 98 tables.
Inhaltsverzeichnis
- BEGINN
- 1. Introduction
- 2. Calculation Methods and Descriptive Analysis
- 2.1. Introductory Remarks
- 2.2. Bootstrapping
- 2.3. Nelson{Siegel Model and its Extensions
- 2.4. Principal Component Analysis
- 2.5. Data
- 2.6. Dynamic of Spot Rates in Levels
- 2.7. Stationarity
- 2.8. Normality Tests
- 2.9. Calculation of Principal Components
- 2.10. Short Summary
- 3. Estimation Models
- 3.1. Introductory Remarks
- 3.2. Basics about ARCH/GARCH Processes
- 3.3. Mixture GARCH(1,1) Models
- 3.4. Skewed Exponential Power GARCH(1,1)
- 3.5. Gauss{Laplace Sum GARCH(1,1)
- 3.6. Skewed Gauss{Laplace Sum GARCH(1,1)
- 3.7. Markov Switching GARCH(1,1)
- 3.8. Concluding Remarks
- 4. Estimation Results
- 4.1. Introductory Remarks
- 4.2. Pre{Estimation Analysis
- 4.3. In{Sample Performance
- 4.4. Out{of{Sample Performance
- 4.5. Short Summary
- 5. Summary and Conclusion
- A. Theoretical Basics and Derivations
- A.1. Continuous Compounding
- A.2. Eigenvalues and Eigenvectors
- A.3. Derivation of Moments and Stationarity Conditions
- A.4. Derivation of LM test
- B. Figures and Tables for Descriptive Analysis
- B.1. Term Structure of Interest Rates: 2D
- B.2. Term Structure of Interest Rates: 3D
- B.3. ADF Test Results
- B.4. Normality Tests
- B.5. Correlations
- B.6. Eigenvectors
- C. Tables for Estimation Results
- C.1. Evaluation of Spot Rates in Log-Differences
- C.2. Principal Components of Spot Rates in log-Differences
- C.3. ARCH Test
- C.4. In { Sample Results
- C.5. Tables for Further Examination of Results
- C.6. Results of In-Sample Performance Tests
- C.7. Forecasting Performance, h=4
- C.8. Forecasting Performance, h=12
- C.9. Results of Out-of-Sample Performance Tests
- C.10.Value at Risk, h=4