Shin, Minchul; Zhong, Molin - 2015 - This version: September 19, 2015
We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density … forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor … models with stochastic volatility. The resulting model parameter estimates are highly efficient, which one hopes would …