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Author: Yunjong Eo Publisher: ISBN: Category : Languages : en Pages : 44
Book Description
We compare the out-of-sample predictive accuracy of a mixture of bond yield models with that of the individual models. The individual models considered here are the dynamic Nelson--Siegel model, arbitrage-free Nelson--Siegel model, and random-walk model. Out-of-sample forecasts for U.S. bond yields show that none of the individual models dominates the others across all maturities and forecast horizons, although the random-walk model performs well in most cases. We then assess the predictive accuracy for two subsamples: before and during a period of zero interest rates. In the first subperiod, overall the mixture of the three models outperforms the individual models, whereas the random-walk model seems to forecast better than all combinations for the period of zero interest rates. We show that these mixed results on the forecasting ability of the mixture models across the subsamples can be attributed to the zero interest-rate policy.
Author: Yunjong Eo Publisher: ISBN: Category : Languages : en Pages : 44
Book Description
We compare the out-of-sample predictive accuracy of a mixture of bond yield models with that of the individual models. The individual models considered here are the dynamic Nelson--Siegel model, arbitrage-free Nelson--Siegel model, and random-walk model. Out-of-sample forecasts for U.S. bond yields show that none of the individual models dominates the others across all maturities and forecast horizons, although the random-walk model performs well in most cases. We then assess the predictive accuracy for two subsamples: before and during a period of zero interest rates. In the first subperiod, overall the mixture of the three models outperforms the individual models, whereas the random-walk model seems to forecast better than all combinations for the period of zero interest rates. We show that these mixed results on the forecasting ability of the mixture models across the subsamples can be attributed to the zero interest-rate policy.
Author: Rajna Gibson Publisher: Now Publishers Inc ISBN: 1601983727 Category : Business & Economics Languages : en Pages : 171
Book Description
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author: International Monetary Fund Publisher: International Monetary Fund ISBN: 1455209589 Category : Business & Economics Languages : en Pages : 64
Book Description
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Author: Ken O. Kortanek Publisher: John Wiley & Sons ISBN: Category : Business & Economics Languages : en Pages : 248
Book Description
This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Author: Francis X. Diebold Publisher: Princeton University Press ISBN: 0691146802 Category : Business & Economics Languages : en Pages : 223
Book Description
Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Author: Yunjong Eo
Author: Yunjong Eo
Author: Rajna Gibson
Author: Alan David Kraus
Author: International Monetary Fund
Author: Joseph F. Sinkey
Author: Siem Jan Koopman
Author: Ken O. Kortanek
Author: Thomas F. Cargill
Author: Michiel David Pooter
Author: Francis X. Diebold