{"id":{"repo_id":"rosario","oai_identifier":"oai:repository.urosario.edu.co:10336/11956"},"canonical_url":"https://search.dev.ndltd.org/etd/rosario/oai:repository.urosario.edu.co:10336/11956","repository":{"repo_id":"rosario","name":"Universidad del Rosario","base_url":"https://repository.urosario.edu.co/oai/request"},"display":{"title":"Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis","abstract":"In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast.","abstract_html":"In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast.","abstract_has_math":false,"creators":["Rodriguez Revilla, Cristhian Andres"],"institution":"Universidad del Rosario","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2016,"date_issued":"2016-02-18","date_published":"2016-02-18","updated_at":"2026-07-27T20:46:41Z","subjects":["Term structure","Out-of-sample forecasting","Nelson-Siegel model","Linear regression","Affine models","Kalman Filter","Root Mean","Squared Error","Economía financiera","Finanzas","Negociaciones internacionales","Economía internacional"],"languages":["spa"],"rights":["info:eu-repo/semantics/openAccess"],"rights_urls":["http://creativecommons.org/licenses/by-nc-nd/2.5/co/"],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["http://repository.urosario.edu.co/handle/10336/11956"],"render_values":[{"text":"http://repository.urosario.edu.co/handle/10336/11956","href":"http://repository.urosario.edu.co/handle/10336/11956","code":true}]}]},"links":{"outbound_url":"https://doi.org/10.48713/10336_11956","outbound_label":"DOI","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:creator","label":"Author","values":["Rodriguez Revilla, Cristhian Andres"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2016-02-18","2016-05-04T19:10:28Z"]},{"key":"dc:publisher","label":"Institution","values":["Universidad del Rosario","Facultad de Economía","Maestría en Finanzas Cuantitativas"]},{"key":"dc:type","label":"Dc Type","values":["info:eu-repo/semantics/masterThesis","info:eu-repo/semantics/acceptedVersion"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Term structure","Out-of-sample forecasting","Nelson-Siegel model","Linear regression","Affine models","Kalman Filter","Root Mean","Squared Error","Economía financiera","Finanzas","Negociaciones internacionales","Economía internacional"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["spa"]},{"key":"dc:rights","label":"Dc Rights","values":["info:eu-repo/semantics/openAccess","http://creativecommons.org/licenses/by-nc-nd/2.5/co/"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://doi.org/10.48713/10336_11956","http://repository.urosario.edu.co/handle/10336/11956"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast.","Universidad del Rosario"]},{"key":"dc:format","label":"Dc Format","values":["application/pdf"]},{"key":"dc:source","label":"Dc Source","values":["Diebold, F.X., Li, C., 2006.Forecasting the term structure of government bond yields.Econometrics. 130, pp. 337-364.","instname:Universidad del Rosario","reponame:Repositorio Institucional EdocUR"]},{"key":"dc:title","label":"Title","values":["Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis"]}]}],"canonical_facts":{"dc:creator":["Rodriguez Revilla, Cristhian Andres"],"dc:date":["2016-02-18","2016-05-04T19:10:28Z"],"dc:description":["In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast.","Universidad del Rosario"],"dc:format":["application/pdf"],"dc:identifier":["https://doi.org/10.48713/10336_11956","http://repository.urosario.edu.co/handle/10336/11956"],"dc:language":["spa"],"dc:publisher":["Universidad del Rosario","Facultad de Economía","Maestría en Finanzas Cuantitativas"],"dc:rights":["info:eu-repo/semantics/openAccess","http://creativecommons.org/licenses/by-nc-nd/2.5/co/"],"dc:source":["Diebold, F.X., Li, C., 2006.Forecasting the term structure of government bond yields.Econometrics. 130, pp. 337-364.","instname:Universidad del Rosario","reponame:Repositorio Institucional EdocUR"],"dc:subject":["Term structure","Out-of-sample forecasting","Nelson-Siegel model","Linear regression","Affine models","Kalman Filter","Root Mean","Squared Error","Economía financiera","Finanzas","Negociaciones internacionales","Economía internacional"],"dc:title":["Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis"],"dc:type":["info:eu-repo/semantics/masterThesis","info:eu-repo/semantics/acceptedVersion"]},"updated_at":"2026-07-27T20:46:41Z"}