Term Structure Fitting and Bond Trading Strategy
Date Issued
2005
Date
2005
Author(s)
Yen-Ru, Lai
DOI
en-US
Abstract
This paper uses Nelson & Siegel model, the parsimonious model to fit the term structure in Taiwan bond market. We use the Newton-Gaussian method to estimate parameters of the yield curves. During the observation period, the estimated yield curve had various shapes. Nelson & Siegel model could describe the shapes of yield curves: monotonic, humped and S-shaped and is consistent with the real market. In addition, this paper will develop some trading strategies to examine whether Nelson & Siegel model could be a powerful tool to estimate the term structure interest rate in Taiwan bond market
Subjects
利率期限結構
債券交易策略
Yield Curve
Bond Strategy
Newton-Gaussian method
Type
thesis