Estimating Ultra Long-Term Interest Rates with Raise Regression

Accurate estimation of ultra-long-term interest rates is essential for financial regulators, life insurance companies, and pension funds. The Nelson-Siegel model and its extension, the Svensson model, are widely used thanks to their parsimony and rich economic intuition. The level parameter in both...

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Detalhes bibliográficos
Autores: Rodríguez Sánchez, Ainara, Zhang, Hairui, Ceuster, Marc J.K. De, Annaert, Jan
Formato: artículo
Fecha de publicación:2026
País:España
Recursos:Universidad Nacional de Educación a Distancia
Repositorio:e-spacio. Repositorio Institucional de la UNED
Idioma:inglés
OAI Identifier:oai:e-spacio.uned.es:20.500.14468/31525
Acesso em linha:https://hdl.handle.net/20.500.14468/31525
Access Level:acceso embargado
Palavra-chave:53 Ciencias Económicas
Nelson-Siegel model
Nelson-Siegel-Svensson model
multicollinearity problem
ridge regression
raise regression
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spelling Estimating Ultra Long-Term Interest Rates with Raise RegressionRodríguez Sánchez, AinaraZhang, HairuiCeuster, Marc J.K. DeAnnaert, Jan53 Ciencias EconómicasNelson-Siegel modelNelson-Siegel-Svensson modelmulticollinearity problemridge regressionraise regressionAccurate estimation of ultra-long-term interest rates is essential for financial regulators, life insurance companies, and pension funds. The Nelson-Siegel model and its extension, the Svensson model, are widely used thanks to their parsimony and rich economic intuition. The level parameter in both models is a direct indicator of ultra-long-term rates. However, these models are subject to high nonlinearity when estimated as nonlinear models, or multicollinearity when estimated as linear models. As a result, estimated interest rates can be unstable, which undermines their practical use. In this paper, we employ raise regression to alleviate the estimation issue. Our results demonstrate superior accuracy compared to existing methods.SpringerConsejería de Economía, Conocimiento, Empresas y Universidades de la Junta de Andalucíae-Spacio UNED20262026-01-2220262026-01-1620262026-01-16journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14468/31525reponame:e-spacio. Repositorio Institucional de la UNEDinstname:Universidad Nacional de Educación a DistanciaInglésengembargoed accesshttp://purl.org/coar/access_right/c_f1cfinfo:eu-repo/semantics/embargoedAccesshttp://creativecommons.org/licenses/by/4.0/deed.esoai:e-spacio.uned.es:20.500.14468/315252026-06-06T12:38:31Z
dc.title.none.fl_str_mv Estimating Ultra Long-Term Interest Rates with Raise Regression
title Estimating Ultra Long-Term Interest Rates with Raise Regression
spellingShingle Estimating Ultra Long-Term Interest Rates with Raise Regression
Rodríguez Sánchez, Ainara
53 Ciencias Económicas
Nelson-Siegel model
Nelson-Siegel-Svensson model
multicollinearity problem
ridge regression
raise regression
title_short Estimating Ultra Long-Term Interest Rates with Raise Regression
title_full Estimating Ultra Long-Term Interest Rates with Raise Regression
title_fullStr Estimating Ultra Long-Term Interest Rates with Raise Regression
title_full_unstemmed Estimating Ultra Long-Term Interest Rates with Raise Regression
title_sort Estimating Ultra Long-Term Interest Rates with Raise Regression
dc.creator.none.fl_str_mv Rodríguez Sánchez, Ainara
Zhang, Hairui
Ceuster, Marc J.K. De
Annaert, Jan
author Rodríguez Sánchez, Ainara
author_facet Rodríguez Sánchez, Ainara
Zhang, Hairui
Ceuster, Marc J.K. De
Annaert, Jan
author_role author
author2 Zhang, Hairui
Ceuster, Marc J.K. De
Annaert, Jan
author2_role author
author
author
dc.contributor.none.fl_str_mv Consejería de Economía, Conocimiento, Empresas y Universidades de la Junta de Andalucía
e-Spacio UNED
dc.subject.none.fl_str_mv 53 Ciencias Económicas
Nelson-Siegel model
Nelson-Siegel-Svensson model
multicollinearity problem
ridge regression
raise regression
topic 53 Ciencias Económicas
Nelson-Siegel model
Nelson-Siegel-Svensson model
multicollinearity problem
ridge regression
raise regression
description Accurate estimation of ultra-long-term interest rates is essential for financial regulators, life insurance companies, and pension funds. The Nelson-Siegel model and its extension, the Svensson model, are widely used thanks to their parsimony and rich economic intuition. The level parameter in both models is a direct indicator of ultra-long-term rates. However, these models are subject to high nonlinearity when estimated as nonlinear models, or multicollinearity when estimated as linear models. As a result, estimated interest rates can be unstable, which undermines their practical use. In this paper, we employ raise regression to alleviate the estimation issue. Our results demonstrate superior accuracy compared to existing methods.
publishDate 2026
dc.date.none.fl_str_mv 2026
2026-01-22
2026
2026-01-16
2026
2026-01-16
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14468/31525
url https://hdl.handle.net/20.500.14468/31525
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv embargoed access
http://purl.org/coar/access_right/c_f1cf
info:eu-repo/semantics/embargoedAccess
http://creativecommons.org/licenses/by/4.0/deed.es
rights_invalid_str_mv embargoed access
http://purl.org/coar/access_right/c_f1cf
http://creativecommons.org/licenses/by/4.0/deed.es
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer
publisher.none.fl_str_mv Springer
dc.source.none.fl_str_mv reponame:e-spacio. Repositorio Institucional de la UNED
instname:Universidad Nacional de Educación a Distancia
instname_str Universidad Nacional de Educación a Distancia
reponame_str e-spacio. Repositorio Institucional de la UNED
collection e-spacio. Repositorio Institucional de la UNED
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,228081

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