We bring together some recent advances in the literature on vector autoregressive moving - average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...

When the yield curve is modelled using an a ffine factor model, residuals may still contain relevant information and do not adhere to the familiar white noise assumption. This paper proposes a pragmatic way to improve out of sample performance for yield curve forecasting. The proposed adjustment...

To investigate yield curve dynamics, researchers have employed a wide variety of models, including the famous Nelson-Siegel level, slope, and curvature factors, and principal components analysis, among others. In this paper, we decompose the term structure of HIBOR (Hong Kong Interbank Offered...

In this paper we suggest a simple empirical and model-independent measure of Central Banks' Conservatism, based on the Taylor curve. This new indicator can easily be extended in time and space, whatever the underlying monetary regime of the considered countries. We demonstrate that it evolves in...

We propose an Adaptive Dynamic Nelson-Siegel (ADNS) model to adaptively detect parameter changes and forecast the yield curve. The model is simple yet flexible and can be safely applied to both stationary and nonstationary situations with different sources of parameter changes. For the 3- to...

We model term structure dynamics using a recursive cascade of heterogeneously persistent factors. The cascade naturally orders the factors by their adjustment speeds, and generates smooth zero-coupon bond prices and forward curves in closed form. For a class of specifications, the number of...

The following article examines a stochastic, log-normal model for the continuously compounding yield-to-maturity and a corresponding price model for default-free zero coupon bonds. This article sets conditions for the validity of the model and goes on to show that this model is a special case of...

Inflation rates are highly persistent and extremely difficult to predict. Most statistical predictions based on predictive regressions fail to outperform the simple assumption of random walk in out-of-sample testing. The poor out-of-sample performance is a common feature of predictive...

This article attempts to identify the best model of the short term interest rates that can predict its stochastic process over time.We studied eight different models of interest rates in the short term. The choice of these models was the aim of analyzing the relevance of certain specifications...

In this work we present our findings of the so‐called CIR#, which is a modified version of the Cox, Ingersoll & Ross (CIR) model, turned into a forecasting tool for any term structure. The main feature of the CIR# model is its ability to cope with negative interest rates, cluster volatility...