Comparing different methods for the estimation of interbank intraday yield curves
| dc.date.accessioned | 2020-07-23T15:36:52Z | |
| dc.date.available | 2020-07-23T15:36:52Z | |
| dc.date.issued | 2020-01-16 | |
| dc.description.sponsorship | Gefördert im Rahmen des Projekts DEAL | ger |
| dc.identifier | doi:10.17170/kobra-202007221480 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/11654 | |
| dc.language.iso | eng | eng |
| dc.relation.doi | doi:10.1002/jcaf.22438 | |
| dc.rights | Namensnennung 4.0 International | * |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | * |
| dc.subject | Diebold-Li model | eng |
| dc.subject | e-MID | eng |
| dc.subject | interbank credit market | eng |
| dc.subject | intraday yield curve | eng |
| dc.subject | Nelson-Siegel model | eng |
| dc.subject | Swennsson model | eng |
| dc.subject.ddc | 330 | |
| dc.subject.swd | Interbankgeschäft | ger |
| dc.subject.swd | Zinsstruktur | ger |
| dc.title | Comparing different methods for the estimation of interbank intraday yield curves | eng |
| dc.type | Aufsatz | |
| dc.type.version | publishedVersion | |
| dcterms.abstract | In this study, we compare three different models, namely, the Nelson–Siegel model (NSM), the Svensson model (SVM), and the Diebold–Li model (DLM), for the estimation of an intraday yield curve on the Italian interbank credit market e‐MID. Using a sample, which spans from October 2005 until March 2010, the first important finding is that all three models are highly suitable for the estimation of an intraday yield curve providing superior empirical results when compared with similar works on e‐MID. The second important finding is that, based on different in‐sample statistics, the SVM dominates the other two models before, during, and after the financial crisis from 2007. Moreover, the NSM seems to dominate the DLM although these differences in goodness‐of‐fit between these two models may not be statistically significant. Our findings are of high practical importance from different perspectives regarding interbank credit markets, including the better understanding of trading processes, the optimization of banks' trading strategies, and monetary policy implications. Finally, our findings can be seen as the starting point for further analyses in this research area. | eng |
| dcterms.accessRights | open access | |
| dcterms.creator | Jeleskovic, Vahidin | |
| dcterms.creator | Demertzidis, Anastasios | |
| dcterms.source.identifier | EISSN 1097-0053 | |
| dcterms.source.issue | Issue 3 | |
| dcterms.source.journal | The Journal of Corporate Accounting & Finance | eng |
| dcterms.source.pageinfo | 57-75 | |
| dcterms.source.volume | Volume 31 | |
| kup.iskup | false |