Professional paper
The effect of parallel OTC-DVP bond market introduction on yield curve volatility
Andraž Grum
Full text: english pdf 446 Kb
page 123-140
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cite
APA 6th Edition
Grum, A. (2006). The effect of parallel OTC-DVP bond market introduction on yield curve volatility. Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, 24 (1), 123-140. Retrieved from https://hrcak.srce.hr/index.php/5175
MLA 8th Edition
Grum, Andraž. "The effect of parallel OTC-DVP bond market introduction on yield curve volatility." Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, vol. 24, no. 1, 2006, pp. 123-140. https://hrcak.srce.hr/index.php/5175. Accessed 24 Sep. 2026.
Chicago 17th Edition
Grum, Andraž. "The effect of parallel OTC-DVP bond market introduction on yield curve volatility." Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business 24, no. 1 (2006): 123-140. https://hrcak.srce.hr/index.php/5175
Harvard
Grum, A. (2006). 'The effect of parallel OTC-DVP bond market introduction on yield curve volatility', Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, 24(1), pp. 123-140. Available at: https://hrcak.srce.hr/index.php/5175 (Accessed 24 September 2026)
Vancouver
Grum A. The effect of parallel OTC-DVP bond market introduction on yield curve volatility. Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business [Internet]. 2006 [cited 2026 September 24];24(1):123-140. Available from: https://hrcak.srce.hr/index.php/5175
IEEE
A. Grum, "The effect of parallel OTC-DVP bond market introduction on yield curve volatility", Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, vol.24, no. 1, pp. 123-140, 2006. [Online]. Available: https://hrcak.srce.hr/index.php/5175. [Accessed: 24 September 2026]
Abstract
The goal of this paper is to analyze the effect of OTC-DVP (over the counter delivery versus payment) fixed income market introduction in Slovenia on the term structure estimation and on the volatility of zero coupon yields and forward interest rates. For the purpose of the analysis Slovenian zero coupon and forward curves were estimated. The model used for yield curve estimation was Nelson-Siegel model as it proved to be superior in terms of goodness of fit, to other statistical methods of yield curve estimation, namely: Svensson model, B-splines model, smoothing B-splines model and Merrill Lynch exponential splines model. Results of analysis show that OTC-DVP bond market introduction (as parallel bond market) has improved the information content of bond prices for term structure estimation purpose. The volatility of spot and forward rates for mid and long remind maturities has fallen with the highest density on the longest maturity segment.
Keywords
OTC-DVP bond market; term structure estimation; splines; Nelson- Siegel model; yield volatility
Hrčak ID:
5175
URI
https://hrcak.srce.hr/5175
Publication date:
25.5.2006.
Article data in other languages:
croatian
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