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Persistent link: https://www.econbiz.de/10011778192
We develop a conditional factor model for the term structure of treasury bonds, which unifies non parametric curve estimation with cross-sectional asset pricing. Our factors correspond to the optimal non-parametric basis functions spanning the discount curve. They are investable portfolios...
Persistent link: https://www.econbiz.de/10013403311
A Simple Method for Predicting Covariance Matrices of Financial Returns makes three contributions. It proposes a new method for predicting the time-varying covariance matrix of a vector of financial returns and a new method for evaluating a covariance predictor. The third contribution is an...
Persistent link: https://www.econbiz.de/10014504758
Persistent link: https://www.econbiz.de/10014513601
We introduce a robust, flexible and easy-to-implement method for estimating the yield curve from Treasury securities. This method is non-parametric and optimally learns basis functions in reproducing Hilbert spaces with an economically motivated smoothness reward. We provide a closed-form...
Persistent link: https://www.econbiz.de/10013169176