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Comparing different methods for the estimation of interbank intraday yield curves

Author

Listed:
  • Vahidin Jeleskovic

    (University of Kassel)

  • Anastasios Demertzidis

    (University of Kassel)

Abstract

In this paper, we compare three different models, namely the Nelson- Siegel model, the Svensson model and the Diebold- Li model, 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 Svensson model dominates the other two models before, during and after the financial crisis from 2007. Moreover, the Nelson- Siegel model seems to dominate the Diebold- Li model although these differences in goodness-of-fit between these two models may not be statistically significant.

Suggested Citation

  • Vahidin Jeleskovic & Anastasios Demertzidis, 2018. "Comparing different methods for the estimation of interbank intraday yield curves," MAGKS Papers on Economics 201839, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    • Handle: RePEc:mar:magkse:201839
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    References listed on IDEAS

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    Cited by:

    1. Anastasios Demertzidis, 2019. "Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-," MAGKS Papers on Economics 201932, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).

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    More about this item

    Keywords

    Interbank credit market; e-MID; intraday yield curve; Nelson-Siegel model; Svensson model; Diebold- Li model;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G01 - Financial Economics - - General - - - Financial Crises

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