Dynamic estimation of the Hungarian term structure
This paper focuses on dynamic properties of the Hungarian term structure. As Hungary is a key European emerging market empirical findings might offer value for both researchers and practitioners. The yield curve and its dynamics are first characterized by descriptive statistical analysis that is fol...
Elmentve itt :
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| Dokumentumtípus: | Könyv része |
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2010
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| Sorozat: | Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress : International Scientific Conference Szeged, November 19-21, 2009
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| Kulcsszavak: | Gazdasági élet - Magyarország, Statisztikai elemzés |
| Online Access: | http://acta.bibl.u-szeged.hu/57819 |
| Tartalmi kivonat: | This paper focuses on dynamic properties of the Hungarian term structure. As Hungary is a key European emerging market empirical findings might offer value for both researchers and practitioners. The yield curve and its dynamics are first characterized by descriptive statistical analysis that is followed by a Principal Component Analysis (PCA). A semi nonparametric (SNP) study investigates structural dynamics of the yield curve without making parametric assumptions, then a stochastic mean reverting affine model (3-factor Vasicek model) is calibrated to the sample which is shown to work relatively more accurately in the Hungarian bond market than in the American one. The last section is devoted to forecasting future yield curves, where empirical results are somewhat less convincing. |
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| Terjedelem/Fizikai jellemzők: | 460-472 |
| ISBN: | 978-963-06-9558-9 |