Empirical analysis and forecasting of yield curves

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dc.contributor.advisorAmbagaspitiya, Rohana
dc.contributor.authorDodampe Gamage, Rangika
dc.contributor.committeememberJiang, Wenjun
dc.contributor.committeememberLu, Xuewen
dc.date2021-11
dc.date.accessioned2021-09-16T21:32:22Z
dc.date.available2021-09-16T21:32:22Z
dc.date.issued2021-09
dc.description.abstractIn this thesis, we focus on term structure models. An accurate estimate of the current term structure of interest rates plays an important role in many areas of finance. In addition, it is important to forecast the futures term structure. Therefore, a lot of research work is devoted to determining how to best estimate, model, and predict the interest rate structure. The first part of this thesis focuses on modeling and forecasting the yield curves. We used the Principal Component Analysis(PCA) , Nelson Siegel(NS) model, and Gaussian Regression Process(GPR) in order to fit and forecast the European yield curve with different maturities. The second part of this thesis focuses on the calibration of the term structure model, since calibration is a highly challenging task, in particular in multiple yield curve markets. We simulate rates for both single-curve and multi-curve frameworks using the exact method and Milstein method and then calibrate parameters of simulated rates using the Ordinary Least Square Estimation(OLSE) method and the Generalized Method of Moments(GMM).en_US
dc.identifier.citationDodampe Gamage, R. (2021). Empirical analysis and forecasting of yield curves (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca.en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/39213
dc.identifier.urihttp://hdl.handle.net/1880/113887
dc.language.isoengen_US
dc.publisher.facultyScienceen_US
dc.publisher.institutionUniversity of Calgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.en_US
dc.subjectInterest rate modelsen_US
dc.subjectPrincipal Component Analysisen_US
dc.subjectGeneralized Method of Momentsen_US
dc.subjectOrdinary Least Square Estimationen_US
dc.subjectCIR modelen_US
dc.subject.classificationEducation--Financeen_US
dc.subject.classificationEducation--Mathematicsen_US
dc.subject.classificationStatisticsen_US
dc.titleEmpirical analysis and forecasting of yield curvesen_US
dc.typemaster thesisen_US
thesis.degree.disciplineMathematics & Statisticsen_US
thesis.degree.grantorUniversity of Calgaryen_US
thesis.degree.nameMaster of Science (MSc)en_US
ucalgary.item.requestcopytrueen_US
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