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Forecasting the term structure of interest rates with dynamic constrained smoothing B-splines

Mineo, Eduardo; Alencar, Airlane Pereira; Moura, Marcelo; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/65, pp. 1-14

The Nelson&Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for...

Persistent link: https://www.econbiz.de/10012302519

Machine learning treasury yields

Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 7 (2020) 1, pp. 1-65

Persistent link: https://www.econbiz.de/10012807008

Global bond risk premia under falling stars

Zhang, Yugui; Zhu, Jie; Zhu, Xiaoneng - In: Finance research letters 42 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10014580460

Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series Dynamics

Rasmussen, Torben Beedholm - 2010

Starting from the discrete-time a ne term structure model by Dai, Le & Singleton (2006), this paper proposes a Radon-Nikodym derivative which implies that factors follow a mixture distribution under the physical measure. The model thus maintains attractive features of an affine relation between...

Persistent link: https://www.econbiz.de/10013147078

Reconciling interest rates evidence with theory : rejecting unit roots when the HD(1) is a competing alternative

Palandri, Alessandro - In: Journal of banking and finance 161 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015065796

Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256

Persistent link: https://www.econbiz.de/10011549916

Long memory forecasting of yield spreads using a fractionally integrated ARMA model and its application in Islamic capital market

Bousalam, Issam; Hamzaoui, Moustapha - In: International journal of bonds and derivatives 3 (2017) 1, pp. 71-92

Persistent link: https://www.econbiz.de/10011807765

How unemployment affects bond prices : a mixed frequency google nowcasting approach

Dimpfl, Thomas; Langen, Tobias - In: Computational economics 54 (2019) 2, pp. 551-573

Persistent link: https://www.econbiz.de/10012134322

Analyzing mortality bond indexes via hierarchical forecast reconciliation

Li, Han; Tang, Qihe - In: Astin bulletin : the journal of the International … 49 (2019) 3, pp. 823-846

Persistent link: https://www.econbiz.de/10012125174

Yield curve momentum

Sihvonen, Markus - 2021

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to … autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a …

Persistent link: https://www.econbiz.de/10012665285