Human mortality has been improving faster than expected over the past few decades. This unprecedented improvement has … been observed in historical mortality data. In this paper, we investigate the applicability of four nonlinear time … conditional heteroskedasticity model for mortality data. By analyzing the mortality data from England and Wales and Italy spanning …

This paper proposes a two-step LASSO based vector autoregressive (2-LVAR) model to forecast mortality rates. Within the …-specific mortality rates are related to their own historical values (temporality) and the rates of the neighboring cohorts (spatiality … (SVAR) model, to offer more flexibility in the parametric structure. A two-step estimation strategy is developed accordingly …

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … risk-adjusted portfolio returns after accounting for estimation error and model uncertainty, as evidenced by the …

-- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market …