Yield curve forecast combinations based on bond portfolio performance

DOI10.1002/for.2476zbMath1397.62401OpenAlexW2608315205MaRDI QIDQ4687661

Guilherme V. Moura, João F. Caldeira, André A. P. Santos

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2476

zbMATH Keywords

portfolio optimizationriskbond returns

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Forecasting the term structure of government bond yields
• Selection of estimation window in the presence of breaks
• The macroeconomy and the yield curve: a dynamic latent factor approach
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Predicting the yield curve using forecast combinations
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
• Unnamed Item

This page was built for publication: Yield curve forecast combinations based on bond portfolio performance