Dynamic estimation of the Hungarian term structure

Kopányi, Szabolcs: Dynamic estimation of the Hungarian term structure. Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress : International Scientific Conference Szeged, November 19-21, 2009. pp. 460-472. (2010)

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Abstract

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.

Item Type: Article
Journal or Publication Title: Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress : International Scientific Conference Szeged, November 19-21, 2009
Date: 2010
Page Range: pp. 460-472
ISBN: 978-963-06-9558-9
Uncontrolled Keywords: Gazdasági élet - Magyarország, Statisztikai elemzés
Additional Information: Bibliogr.: p. 470-472. ; összefoglalás angol nyelven
Date Deposited: 2019. Apr. 24. 14:24
Last Modified: 2019. Apr. 24. 14:24
URI: http://acta.bibl.u-szeged.hu/id/eprint/57819

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