J. García Pérez, C. García García, R. Salmerón Gómez, C. García García
The Nelson–Siegel (NS) model is widely used in practice for fitting the term structure of interest rates. Numerous studies concluded that the nonlinear estimation of the NS model produces multicollinearity between the regressors (factor loadings) of the model leading to unstable time series of the estimated coefficients and large standard errors. This paper presents a literature review about the detection and treatment of this problem in the different scientific works.
Palabras clave / Keywords: collinearity, finance, ridge regression
Programado
Sesión invitada SI06 Métodos Cuantitativos para Economía y Empresa (Organizador: Víctor Blanco)
31 de mayo de 2018 09:00
Sala 2
