Dottorato in "Transizione Digitale e Sostenibilità": le imprese e le Amministrazioni pubbliche nell'economia globalizzata – Dipartimento di Scienze dell'Economia dell'Università del Salento

Knowledge Sharing and Scientific Interaction

Titolo: A Term Structure Dynamic Model With Correlated Residuals: A Comparative Analysis

Abstract: The growth of financial markets and the emerging derivative instruments require the development of advanced techniques for forecasting the term structure of interest rates. 
In this context, two significant dimensions, i.e. maturity and time, need to be jointly considered in the modeling procedure. In the literature, the Nelson-Siegel model is commonly used to explain the dependence of the interest rates on maturity and time. However, it cannot be excluded that the re-siduals obtained from Nelson-Siegel estimates are still correlated. At this purpose, a geostatistical approach is adopted, and an innovative modeling solution is provided.
A dynamic model for predicting the term structure of spot interest rates, where the joint evolution with respect to time and maturity is considered for both the deterministic and the stochastic parts of the model, is proposed. The relevance as well as the potentiality of the geostatistical modeling tech-niques extended to treat observations not strictly referred to a geographic system, is highlighted.

Relatore: Dott. Antonella Congedi

Data: 10.06.25 ore 13

Location: Ecotekne, Building C, I piano, Aula 'Mario Signore'