Term structure forecasting in affine framework with time-varying volatility

DOI10.1007/S10260-017-0378-YzbMath1441.62268OpenAlexW2603699454MaRDI QIDQ1697871

Wali Ullah

Publication date: 20 February 2018

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-017-0378-y

zbMATH Keywords

bond marketKalman filterforecastingstate-space modelEGARCHlatent factors model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Unnamed Item
• Forecasting the term structure of government bond yields
• The Model Confidence Set
• The affine arbitrage-free class of Nelson-Siegel term structure models
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out‐of‐Sample Forecasts?
• The Dynamics of Short-Term Interest Rate Volatility Reconsidered
• Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters

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