%0 Journal Article %1 citeulike:1110075 %A Nelson, Charles R. %A Siegel, Andrew F. %D 1987 %J The Journal of Business %K finmath, yield-curve %N 4 %P 473--489 %T Parsimonious Modeling of Yield Curves %U http://www.jstor.org/stable/2352957 %V 60 %X This paper introduces a parametrically parsimonious model for yield curves that has the ability to represent the shapes generally associated with yield curves: monotonic, humped, and S shaped. We find that the model explains 96\% of the variation in bill yields across maturities during the period 1981-83. The movement of the parameters through time reflects and confirms a change in Federal Reserve monetary policy in late 1982. The ability of the fitted curves to predict the price of the long-term Treasury bond with a correlation of .96 suggests that the model captures important attributes of the yield/maturity relation.

@article{citeulike:1110075, abstract = {{This paper introduces a parametrically parsimonious model for yield curves that has the ability to represent the shapes generally associated with yield curves: monotonic, humped, and S shaped. We find that the model explains 96\% of the variation in bill yields across maturities during the period 1981-83. The movement of the parameters through time reflects and confirms a change in Federal Reserve monetary policy in late 1982. The ability of the fitted curves to predict the price of the long-term Treasury bond with a correlation of .96 suggests that the model captures important attributes of the yield/maturity relation.}}, added-at = {2019-06-18T20:47:03.000+0200}, author = {Nelson, Charles R. and Siegel, Andrew F.}, biburl = {https://www.bibsonomy.org/bibtex/2021943f48c7d989f718b910544c2dde5/alexv}, citeulike-article-id = {1110075}, citeulike-attachment-1 = {nelson_87_parsimonious_24345.pdf; /pdf/user/alexv/article/1110075/24345/nelson_87_parsimonious_24345.pdf; f81f7285c126fd4b81ddb28b35aebe3fe10e9217}, citeulike-linkout-0 = {http://www.jstor.org/stable/2352957}, file = {nelson_87_parsimonious_24345.pdf}, interhash = {7550d101dc2cd175c3f3b02674ed5194}, intrahash = {021943f48c7d989f718b910544c2dde5}, journal = {The Journal of Business}, keywords = {finmath, yield-curve}, number = 4, pages = {473--489}, posted-at = {2007-02-16 20:08:03}, priority = {2}, timestamp = {2019-06-18T20:47:03.000+0200}, title = {{Parsimonious Modeling of Yield Curves}}, url = {http://www.jstor.org/stable/2352957}, volume = 60, year = 1987 }