Prediction bias correction for dynamic term structure models

DOI10.1016/J.ECONLET.2015.01.022zbMath1321.62131OpenAlexW2026621372MaRDI QIDQ500507

Eran Raviv

Publication date: 5 October 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://papers.tinbergen.nl/13041.pdf

zbMATH Keywords

factor modelsyield curveNelson-Siegeltime varying loadings

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Unnamed Item
• Forecasting the term structure of government bond yields
• Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
• Bayesian inference in a stochastic volatility Nelson-Siegel model
• An Intertemporal General Equilibrium Model of Asset Prices
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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