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Bagging Constrained Equity Premium Predictors
Lee, Tae-Hwy; Hillebrand, Eric; Medeiros, Marcelo - Department of Economics, University of California-Riverside - 2014
and restricted regression coefficients. We consider bootstrap aggregation (bagging) to smooth parameter restrictions. Two … types of restrictions are considered: positivity of the regression coefficient and positivity of the forecast. Bagging … bagging. Monte Carlo simulations show that forecast gains can be achieved in realistic sample sizes for the stock return …
Persistent link: https://www.econbiz.de/10011134223
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Yield curve factors, term structure volatility, and bond risk premia
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term struc- ture and are associated with the time-varying...
Persistent link: https://www.econbiz.de/10003770770
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Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting
Li, Xinjue - 2020
The predictability of a high-dimensional time series model in forecasting with large information sets depends not only on the stability of parameters but also depends heavily on the active covariates in the model. Since the true empirical environment can change as time goes by, the variables...
Persistent link: https://www.econbiz.de/10012827733
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Let's do it again : bagging equity premium predictors
Hillebrand, Eric; Lee, Tae-hwy; Medeiros, Marcelo C. - 2012
and restricted regression coefficients. We consider bootstrap aggregation (bagging) to smooth parameter restrictions. Two … types of restrictions are considered: positivity of the regression coefficient and positivity of the forecast. Bagging … bagging. Monte Carlo simulations show that forecast gains can be achieved in realistic sample sizes for the stock return …
Persistent link: https://www.econbiz.de/10009656874
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Macroeconomic Sources of Risk in the Term Structure
Wickens, Michael; Balfoussia, Hiona - 2021
In this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond returns of different maturity and the fundamental...
Persistent link: https://www.econbiz.de/10013318878
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Forecasting the term structure of government bond yields
Diebold, Francis X.; Li, Canlin - 2003
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...
Persistent link: https://www.econbiz.de/10010298283
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Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus; Ou, Yangguoyi - 2009
We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying...
Persistent link: https://www.econbiz.de/10010303741
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Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach
Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - 2007
The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in...
Persistent link: https://www.econbiz.de/10010303750
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Anchoring the yield curve using survey expectations
Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...
Persistent link: https://www.econbiz.de/10010368212
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Modelling and Forecasting the Yield Curve under Model uncertainty
Donati, Paola; Donati, Francesco - 2008
This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...
Persistent link: https://www.econbiz.de/10011604963