Modeling Swedish government yields with the Dynamic Nelson Siegel and the Dynamic Nelson Siegel Svensson Model
The purpose of this thesis is to model and forecast Swedish government yields by using three classes of the Nelson Siegel Model Family. The three models considered are the Dynamic Nelson Siegel Model, Arbitrage-Free Nelson Siegel Model and Dynamic Nelson Siegel Svensson Model. A brief introduction to interest rate theory is given with emphasis on coupon bonds and yield curves. To introduce the con