Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve

Lorenčič, Eva

doi:10.1515/ngoe-2016-0011

Cited by 5 publications

(4 citation statements)

References 20 publications

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“…This approach has continued to enjoy wider acceptance in the recent empirical literature (see, e.g. Zhu et al, 2019;Jiang et al, 2019;Lorenčič, 2016;Kim et al, 2019;Noor et al, 2014). Interpolation procedures have vastly been employed in time series and cross-sectional data sets (Honaker & King, 2010;Lepot et al, 2017;Wongsai et al, 2017), and predominantly in groundwater resource data mappings due to challenges of data limitations associated with empirical analysis in this subject area.…”

Section: Methodsmentioning

confidence: 99%

Enhancing agricultural and industrial productivity through freshwater withdrawals and management: implications for the BRICS countries

Egbo

Ezeaku

Okolo

et al. 2022

Environ Dev Sustain

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This paper analysed the effect of freshwater withdrawals and management on agricultural and industrial sectors productivity in the emerging market economies. The auto-regressive distributed lag model and the panel analyses were employed in our estimations. Our result revealed that Brazil had better water use efficiency in agricultural production with annual withdrawals which contribute significantly and positively to the increase in crop and livestock index. In contrast, annual withdrawals for agriculture were considered to be least efficient in Russia, followed by China and India, although, in South Africa, the result suggested an insignificant positive effect in the incremental index. Furthermore, our analysis revealed that freshwater withdrawals have a significant positive impact on industrial outputs in South Africa. Similarly, water withdrawals were positively related to industrial sector productivity in China and Russia. Brazil and India appear to be the least efficient countries where withdrawals impacted negatively (and significantly for Brazil) on industrial sector outputs. Our panel analyses showed that freshwater withdrawals were positively associated with crop and livestock production index and industrial outputs in the BRICS economies. However, the magnitude of the impacts was only significant for the industrial sector. Moreover, investments and private participation in water and sanitation projects impacted significantly and positively in productivity in both sectors.

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Section: Methodsmentioning

confidence: 99%

Enhancing agricultural and industrial productivity through freshwater withdrawals and management: implications for the BRICS countries

Egbo

Ezeaku

Okolo

et al. 2022

Environ Dev Sustain

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“…(Peck, 2017, 2) It studies the changing patterns of the industrialisation of Maribor, focusing especially on the 1980s and 1990s when the most significant restructuring occurred. Various scholars already discussed the (de)industrialisation of the Maribor region (Lorber, 2006b;Lorenčič, 2010;Slavec, 1995). We complement the existing studies by putting Maribor´s industrialisation dynamics into a broader socio-historical context.…”

Section: Ključne Besedementioning

confidence: 99%

De-industrialisation of Maribor: From Devaluation to Subordinated Re-integration Into Global Capitalism

Podvršič

2023

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We analyze the restructuring of the Maribor industry during the 1980s and 1990s. Various scholars have already studied the (de)industrialisation dynamics of Maribor in that period. We complement the existing studies by contextualizing the industrial transformations of the Maribor landscape within broader historical trends shaped by the neo-liberalisation of the world economy and the reintegration of the (post-)socialist economies from Eastern Europe into global capitalism under the Washington Consensus. Looking at the initial phase of the transition of Slovenia from the perspective of the Maribor region, one could see that it was all but “smooth and peaceful”.

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“…Hattori and Miyake (2016) observed that the B-Spline method produced better yield estimates for municipal bonds when compared with the Svensson model. Lorenčič (2016) empirically contrasted the performance of spline based method with the parametric methods in the estimation of Austrian government bonds. Our method improves the putative B-Spline method by automatically selecting the location of the segments and introducing shape constraints on the yield curve.…”

Section: Related Workmentioning

confidence: 99%

Municipal Bond Pricing: A Data Driven Method

Raman

Leidner

2018

IJFS

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Price evaluations of municipal bonds have traditionally been performed by human experts based on their market knowledge and trading experience. Automated evaluation is an attractive alternative providing the advantage of an objective estimation that is transparent, consistent, and scalable. In this paper, we present a statistical model to automatically estimate U.S municipal bond yields based on trade transactions and study the agreement between human evaluations and machine generated estimates. The model uses piecewise polynomials constructed using basis functions. This provides immense flexibility in capturing the wide dispersion of yields. A novel transfer learning based approach that exploits the latent hierarchical relationship of the bonds is applied to enable robust yield estimation even in the absence of adequate trade data. The Bayesian nature of our model offers a principled framework to account for uncertainty in the estimates. Our inference procedure scales well even for large data sets. We demonstrate the empirical effectiveness of our model by assessing over 100,000 active bonds and find that our estimates are in line with hand priced evaluations for a large number of bonds.

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Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve

Cited by 5 publications

References 20 publications

Enhancing agricultural and industrial productivity through freshwater withdrawals and management: implications for the BRICS countries

Enhancing agricultural and industrial productivity through freshwater withdrawals and management: implications for the BRICS countries

De-industrialisation of Maribor: From Devaluation to Subordinated Re-integration Into Global Capitalism

Municipal Bond Pricing: A Data Driven Method

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