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dc.date2014
dc.date.available2015-11-06T21:15:36Z
dc.date.issued2014
dc.identifier.issn2218-0648
dc.identifier.urihttp://hdl.handle.net/10784/7623
dc.description.abstractThe official estimation for the term structure model in Colombia is based on the Nelson and Siegel (1987) development which is widely accepted and used. This estimation is based on the curve fitting with available data, only for one day ahead, making difficult to estimate the future zero-coupon yield curve. Taking into account the importance of having an estimation of the term structure for the valuation of financial assets in the Colombian market, this research proposes a methodology to estimate in a dynamic form the parameters of interest rates in the Nelson and Siegel Model. This required the use of the re-parameterization proposed by Diebold and Li (2006), which determines the shape of the term structure through latent factors such as level, slope and curvature. This paper aims to show the dynamic estimation of the term structure of interest rate using the Kalman filter methodology framed in State - space. Results show that predictions are successful for more than one period in the future.eng
dc.language.isoengeng
dc.publisherElseviereng
dc.relation.ispartofJournal of Economics, Finance and Administrative Science. Vol. 19, (37), 2014, pp.70-77spa
dc.relation.isversionofhttp://www.sciencedirect.com/science/article/pii/S2077188614000237
dc.relation.urihttp://www.sciencedirect.com/science/article/pii/S2077188614000237
dc.rightsopenAccesseng
dc.rightsCopyright © 2014 Universidad ESAN. Published by Elsevier España S.L.spa
dc.sourceJournal of Economics, Finance and Administrative Science. Vol. 19, (37), 2014, pp.70-77spa
dc.titleDynamic estimation of an interest rate structure in Colombia. Empirical analysis using the kalman filtereng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.type.localArtículospa
dc.subject.keywordTerm structureeng
dc.subject.keywordKalman filtereng
dc.subject.keywordDynamic estimationeng
dc.rights.localAcceso abiertospa
dc.date.accessioned2015-11-06T21:15:36Z
dc.type.hasVersionpublishedVersioneng
dc.type.hasVersionObra publicadaspa
dc.contributor.departmentEconomía y Finanzasspa
dc.contributor.departmentFinanzasspa
dc.contributor.authorMaldonado Castaño, Rogeliospa
dc.contributor.authorZapata Rueda, Nataliaspa
dc.contributor.authorPantoja Robayo, Javier Orlandospa
dc.citation.journalTitleJournal of Economics, Finance and Administrative Scienceeng
dc.citation.volume19
dc.citation.issue37
dc.citation.spage70
dc.citation.epage77
dc.identifier.doidoi:10.1016/j.jefas.2014.07.001
dc.contributor.affiliationUniversidad de Medellin, Universidad EAFITspa
dc.contributor.affiliationProfessor of the Economics and Finance School at Universidad EAFITspa
dc.contributor.programGrupo de Investigación Finanzas y Bancaspa


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