We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...

We examine the importance of incorporating macroeconomic information and, in particular, accounting for model uncertainty when forecasting the term structure of U.S.interest rates. We start off by analyzing and comparing the forecast performance of several individual term structure models. Our...

We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...

We use data on coupon-bearing Australian Government bonds and overnight indexed swap (OIS) rates to estimate risk-free zero-coupon yield and forward curves for Australia from 1992 to 2007. These curves, and analysts’ forecasts of future interest rates, are then used to fit an affine term...

The sharp rise in government debt in many major economies following the introduction of large fiscal stimulus measures during the global financial crisis of 2008-09 has triggered concerns over its impact on long-term interest rates and the potential negative consequences for future growth and...

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

It is well-known that the estimated GARCH dynamics exhibit common patterns. Starting from this fact we extend the Dynamic Conditional Correlation (DCC) model by allowing for a cluster- ing structure of the univariate GARCH parameters. The model can be estimated in two steps, the first devoted to...

The paper uses daily data on financial stock index returns, tourism stock sub-index returns, exchange rate returns and interest rate differences from 1 June 2001 – 28 February 2014 for Taiwan to construct a novel latent daily tourism financial indicator, namely the Tourism Financial Conditions...

We study how unconventional monetary policy affects the shape of the yield curve and, conversely, the predictive power of short-run yield curve dynamics for the policy event. Two types of unconventional monetary policy measures are analysed: i) announcements and actions related to extension of...

The classical financial models are based on the standard Brownian diffusion-type processes. However, in exhibition of some real market data (like interest or exchange rates) we observe characteristic periods of constant values. Moreover, in the case of financial data, the assumption of normality...