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Term structure modeling and forecasting of government bond yields : does a good in -sample fit imply reasonable out-of-sample forecasts?
Ullah, Wali; Matsuda, Yasumasa; Tsukuda, Yoshihiko - In: Economic papers : a journal of applied economics and policy 32 (2013) 4, pp. 535-560
Persistent link: https://www.econbiz.de/10010259467
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The expected real yield and inflation components of the nominal yield curve
Lange, Ronald H. - In: The North American journal of economics and finance : a … 39 (2017), pp. 1-18
Persistent link: https://www.econbiz.de/10011878571
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Efficient Yield Curve Estimation and Forecasting in Brazil
Caldeira, João - 2013
Kalman filter is the most suitable method for the estimation of the model, generating better forecast for all maturities when … general. In this paper, we used the Diebold-Li interpretation to the Nelson Siegel model in order to fit and forecast the … Brazilian yield curve. The data consisted of daily observations of the most liquid future ID yields traded in the BM&F from …
Persistent link: https://www.econbiz.de/10013090757
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Long-horizon yield curve projections : comparison of semi-parametric and parametric approaches
Nyholm, Ken; Rebonato, Riccardo - In: Applied financial economics 18 (2008) 18/21, pp. 1597-1611
Persistent link: https://www.econbiz.de/10003800185
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Sharpe ratios in term structure models
Duffee, Greg - 2011 - First draft November 2009, This Draft: April 7, 2010
are astronomically high. Estimation of term structure models subject to a constraint on their Sharpe ratios uncovers …
Persistent link: https://www.econbiz.de/10008808730
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Estimation of continuous-time models for stock returns and interest rates
Gallant, A. Ronald - In: Macroeconomic dynamics 1 (1997) 1, pp. 135-168
Persistent link: https://www.econbiz.de/10001337436
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Forecasting financial time series using model averaging
Ravazzolo, Francesco - 2007
Persistent link: https://www.econbiz.de/10003580042
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Can credit spreads help predict a yield curve?
Abdymomunov, Azamat; Kang, Kyu Ho; Kim, Ki Jeong - In: Journal of international money and finance 64 (2016), pp. 39-61
Persistent link: https://www.econbiz.de/10011668377
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Efficient nonparametric estimation of the conditional variance and correlation functions in the Nelson-Siegel yield curve model
Chavleishvili, Sulkhan - In: Essays in econometrics, (pp. 37-59). 2014
Persistent link: https://www.econbiz.de/10011283929
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Estimation of Credit Spread Correlations
Perraudin, William Robert Maurice - 2011
The recent interest in portfolio credit risk modelling has concentrated attention on the correlation structure of credit risk. This paper calculates long-holding period correlations for emerging market sovereign spreads and compares these with the correlations of equity market indices for the...
Persistent link: https://www.econbiz.de/10013118349