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dc.contributor.authorKrippner, Leo
dc.date.accessioned2008-12-15T03:56:39Z
dc.date.available2008-12-15T03:56:39Z
dc.date.issued2003-09
dc.identifier.citationKrippner, L. (2003). Modelling the yield curve with Orthonormalised Laguerre Polynomials: A consistent cross-sectional and inter-temporal approach. (Department of Economics Working Paper Series, Number 2/03). Hamilton, New Zealand: University of Waikato.en_US
dc.identifier.urihttps://hdl.handle.net/10289/1652
dc.description.abstractThis article proposes the orthonormalised Laguerre polynomial (OLP) model of the yield curve, a generic linear model that is both cross-sectionally consistent (that is, it reliably fits the yield curve at a given point in time), and inter-temporally consistent (that is, the cross-sectional parameters are shown to be consistent over time within the expectations hypothesis framework). The OLP model generalises the exponential-polynomial model for a single yield curve, as originally proposed by Nelson and Siegel (1987), and also allows for the simultaneous modelling of other same-currency yield curves that have instrument-specific differences (such as default risk), as in Houweling, Hoek and Kleibergen (2001). New Zealand data is used to illustrate the empirical application of the OLP model.en_US
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.relation.ispartofseriesDepartment of Economics Working Paper Series
dc.subjectyield curveen_US
dc.subjectterm structureen_US
dc.subjectexpectations hypothesisen_US
dc.subjectexponential polynomialen_US
dc.subjectNelson and Siegel modelen_US
dc.titleModelling the yield curve with Orthonormalised Laguerre Polynomials: A consistent cross-sectional and inter-temporal approachen_US
dc.typeWorking Paperen_US
uow.relation.series2/03


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