Predicting the Swap Spread with a Dynamic Nelson-Siegel Model: A Novel Approach to Predict the Spread between Two Correlated Interest Rates

This thesis aims to develop a methodology for predicting the swap spread, which is defined as the difference between the German government bond interest rate and the Euribor swap rate. Thus far, the prediction of interest rates is limited to the prediction of a single interest rate. This thesis introduces the simultaneous prediction of the...