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Optimal estimation of multi-country Gaussian dynamic term structure models using linear regressions
Díez de los Ríos, Antonio - 2017
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large - a situation in which other recently proposed approaches lose their...
Persistent link: https://www.econbiz.de/10011777912
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Forecasts of inflation and interest rates in no-arbitrage affine models
Gospodinov, Nikolaj; Wei, Bin - 2016
In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no-arbitrage restrictions across these markets. On the methodological...
Persistent link: https://www.econbiz.de/10011421729
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Forecasting Interest Rates Through Vasicek and CIR Models : A Partitioning Approach
Orlando, Giuseppe - 2019
The aim of this paper is to propose a new methodology that allows forecasting, through Vasicek and CIR models, of future expected interest rates (for each maturity) based on rolling windows from observed financial market data. The novelty, apart from the use of those models not for pricing but...
Persistent link: https://www.econbiz.de/10012895022
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Forecasts of Inflation and Interest Rates in No-Arbitrage Affine Models
Gospodinov, Nikolay - 2017
In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no-arbitrage restrictions across these markets. On the methodological...
Persistent link: https://www.econbiz.de/10012970064
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Mind the (convergence) gap: bond predictability strikes back!
Berardi, Andrea; Markovich, Michael; Plazzi, Alberto; … - 2019 - This version: August 29, 2019
regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia …
Persistent link: https://www.econbiz.de/10012134247
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Forecasting Interest Rates Through Vasicek and CIR Models : A Partitioning Approach
Orlando, Giuseppe - 2020
The aim of this paper is to propose a new methodology that allows forecasting, through Vasicek and CIR models, of future expected interest rates based on rolling windows from observed financial market data. The novelty, apart from the use of those models not for pricing but for forecasting the...
Persistent link: https://www.econbiz.de/10012845850
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Risks in macroeconomic fundamentals and excess bond returns predictability
De Rezende, Rafael B. - 2015 - February 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …
Persistent link: https://www.econbiz.de/10010478516
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Portfolio choice with stochastic interest rates and learning about stock return predictability
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: International review of economics & finance : IREF 41 (2016), pp. 347-370
Persistent link: https://www.econbiz.de/10011624748
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Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model
Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844
Persistent link: https://www.econbiz.de/10014391968
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Interest rates modeling and forecasting : do macroeconomic factors matter?
Kuczera, Adam - 2017
Recent studies documented a sufficient forecasting performance of shadow-rate models in the low yields environment. Moreover, it has been shown that including the macro-variables into the shadow-rate models further improves the results. We build on these findings and evaluate for the U.S....
Persistent link: https://www.econbiz.de/10011659284