Modeling the term structure of interest rate is very important to macroeconomists and financial market practitioners in 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...

We propose an economically motivated forecast combination strategy in which model weights are related to portfolio returns obtained by a given forecast model. An empirical application based on an optimal mean-variance bond portfolio problem is used to highlight the advantages of the proposed...

We re-examine the validity of the Expectation Hypothesis (EH) of the term structure for the Brazilian fixed income market, using data from Jan-2000 to Jun-2017. Furthermore, we investigated the out-of-sample predictability of bond excess returns by means of common factors extracted from a...

In this paper we consider a novel procedure for forecasting the US yield curve by using the methodology of nonparametric kernel estimation of functional data (NP-FDA). Within this approach, each element of the sample is a monthly yield curve, evaluated at points corresponding to maturities. In...

We examine the statistical accuracy and economic value of modelling and forecasting the term structure of interest rates using forecast combinations. We adopt five alternative methods to combine point forecasts from several univariate and multivariate autoregressive specifications, as well as...

We propose a novel approach to measure risk in fixed income portfolios in terms of value-at-risk (VaR). We use closed-form expressions for the vector of expected bond returns and for the covariance matrix of bond returns based on a general class of well established term structure factor models,...