Nelson Siegel parameterisation of the South African Sovereign Yield Curve: an exploration of its predictors, a link to the main asset classes and implementation of systematic trading strategies

Abstract

The aims of this research are firstly to model the South African Local Government Bond Yield curve according to the Nelson Siegel Parameterisation framework, as implemented in the pivotal work of Diebold and Li (2006) in forecasting the US Treasury curve.