Fitting the yield curve

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Three essays on the term structure of interest rates

A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy from the NOVA - School of Business and Economics

How do current term structure model behave beyond the last liquid point?: A comparison of the DNS and Smith-Wilson methods

A Work Project, presented as part of the requirements for the Award of a Master’s Double Degree in Finance from Maastricht University and NOVA – School of Business and Economics

Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty

This paper extends the Nelson-Siegel linear factor model by developing a flexible macro-finance framework for modeling and forecasting the term structure of US interest rates. Our approach is robust to parameter uncertainty and structural change, as we consider instabilities in parameters and volatilities, and our model averaging method allows for investors' model uncertainty over time. Our time-varying parameter Nelson-Siegel Dynamic Model Averaging (NS-DMA) predicts yields better than standard benchmarks and successfully captures plausible time-varying term premia in real time. The proposed model has significant in-sample and out-of-sample predictability for excess bond returns, and the predictability is of economic value.

Term structure of interest rates. European financial integration

In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates at weekly intervals. A total of 4,038 curves are estimated and analyzed. Four European Monetary Union countries¿Spain, France, Germany and Italy¿are included. The UK is also included as a European non-member of the Monetary Union. Finally the US completes the analysis. The goal is to determine the differences in the shapes of the term structure of interest rates among these countries. Likewise, we can determine the most usual term structure shapes that appear for each country.*****

Term structure of interest rates. European financial integration

In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates at weekly intervals. A total of 4,038 curves are estimated and analyzed. Four European Monetary Union countries¿Spain, France, Germany and Italy¿are included. The UK is also included as a European non-member of the Monetary Union. Finally the US completes the analysis. The goal is to determine the differences in the shapes of the term structure of interest rates among these countries. Likewise, we can determine the most usual term structure shapes that appear for each country.*****

Machine learning analysis and modeling of interest rate curves

The present research deals with the review of the analysis and modeling of Swiss franc interest rate curves (IRC) by using unsupervised (SOM, Gaussian Mixtures) and supervised machine (MLP) learning algorithms. IRC are considered as objects embedded into different feature spaces: maturities; maturity-date, parameters of Nelson-Siegel model (NSM). Analysis of NSM parameters and their temporal and clustering structures helps to understand the relevance of model and its potential use for the forecasting. Mapping of IRC in a maturity-date feature space is presented and analyzed for the visualization and forecasting purposes.

Korkokäyrän estimointi Suomen aineistolla

Tutkimuksen tavoitteena on estimoida korkokäyrä Suomen aineistolla pe-riodeittain vuosille 2001–2007. Data koostuu Eonia- ja Euribor-korkojen sekä Suomen valtion joukkolainojen maturiteettituottojen poikkileikkaus aikasarjoista. Korkokäyrän estimointiin käytetään Svenssonin (1995) kehittämää laajennettua Nelson & Siegel -mallia. Kyseinen malli soveltui hyvin korkokäyrän estimointiin Suomen aineistolla. Lisäksi tutkimuksessa tarkastellaan Nelson & Siegel -mallin parametrien sopivuutta korkokäyrän ennustamiseen.

Public real estate and the term structure of interest rates: a cross-country study

Using a variation of the Nelson-Siegel term structure model we examine the sensitivity of real estate securities in six key global markets to unexpected changes in the level, slop and curvature of the yield curve. Our results confirm the time-sensitive nature of the exposure and sensitivity to interest rates and highlight the importance of considering the entire term structure of interest rates. One issue that is of particular of interest is that despite the 2007-9 financial crisis the importance of unanticipated interest rate risk weakens post 2003. Although the analysis does examine a range of markets the empirical analysis is unable to provide definitive evidence as to whether REIT and property-company markets display heightened or reduced exposure.

Economic cycles and term structure: application to Brazil

The objective of this work is to describe the behavior of the economic cycle in Brazil through Markov processes which can jointly model the slope factor of the yield curve, obtained by the estimation of the Nelson-Siegel Dynamic Model by the Kalman filter and a proxy variable for economic performance, providing some forecasting measure for economic cycles

Forecasting the term structure when short-term rates are near zero

This paper compares the experience of forecasting the UK government bond yield curve before and after the dramatic lowering of short-term interest rates from October 2008. Out-of-sample forecasts for 1, 6 and 12 months are generated from each of a dynamic Nelson-Siegel model, autoregressive models for both yields and the principal components extracted from those yields, a slope regression and a random walk model. At short forecasting horizons, there is little difference in the performance of the models both prior to and after 2008. However, for medium- to longer-term horizons, the slope regression provided the best forecasts prior to 2008, while the recent experience of near-zero short interest rates coincides with a period of forecasting superiority for the autoregressive and dynamic Nelson-Siegel models. © 2014 John Wiley & Sons, Ltd.

Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed timevarying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible realtime term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed time-varying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible real-time term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Aplicação experimental de um modelo de conduta de inspeção sanitária no comércio varejista de alimentos

Este trabalho teve por objetivo aplicar um procedimento para diagnóstico e modelo de inspeção higiênico-sanitária em estabelecimentos varejistas de alimentos, no Município de Ibiúna, Estado de São Paulo, Brasil, e analisar os resultados com vistas a atingir os objetivos da vigilância sanitária. O trabalho foi desenvolvido durante seis meses em 19 estabelecimentos varejistas de alimentos classificados como padarias, restaurantes e açougues, sendo que na primeira inspeção realizou-se o diagnóstico da situação, com a identificação das não conformidades e avaliação das condições higiênico-sanitárias dos estabelecimentos e foi obtida a pontuação média de 64. Após esta etapa iniciaram-se retornos programados aos estabelecimentos pela equipe da vigilância sanitária a fim de verificar a evolução das adequações sanitárias. No diagnóstico e em todos os retornos programados foi aplicado roteiro de inspeção e produção de relatórios detalhados destinados aos proprietários. Todos os manipuladores de alimentos dos estabelecimentos inspecionados foram capacitados em relação a conceitos básicos de higiene em alimentos. Os resultados mostraram que, após três retornos de inspeções em cada estabelecimento, 100% apresentaram-se como satisfatórios, com pontuação média de 90. O modelo de inspeção sanitária aplicado mostrou-se viável para a promoção da segurança alimentar.

Modelo para aloca????o de vagas de docentes

As discuss??es que se desenvolveram para a formula????o de um novo estatuto para a Universidade procuraram solu????es que solucionassem/amenizassem as defici??ncias encontradas na aloca????o de docentes e conseguisse propiciar condi????es para se incrementar as atividades de pesquisa e de intera????o com a sociedade, al??m de melhores condi????es estruturais para o processo de avalia????o das atividades da Universidade