Comparing Models For Forecasting The Yield Curve

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Comparing Models For Forecasting The Yield Curve

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Author : Marco S. Matsumura
language : en
Publisher:
Release Date : 2006

Comparing Models For Forecasting The Yield Curve written by Marco S. Matsumura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Economic forecasting categories.

Yield Curve Modeling And Forecasting

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Author : Francis X. Diebold
language : en
Publisher: Princeton University Press
Release Date : 2013-01-15

Yield Curve Modeling And Forecasting written by Francis X. Diebold and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-15 with Business & Economics categories.

Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.

Interest Rate Models Asset Allocation And Quantitative Techniques For Central Banks And Sovereign Wealth Funds

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Author : A. Berkelaar
language : en
Publisher: Springer
Release Date : 2009-11-30

Interest Rate Models Asset Allocation And Quantitative Techniques For Central Banks And Sovereign Wealth Funds written by A. Berkelaar and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-11-30 with Political Science categories.

This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.

Comparing Models For Forecasting The Yield Curve

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Author : Marco S. Matsumura
language : pt-BR
Publisher:
Release Date : 2006

Comparing Models For Forecasting The Yield Curve written by Marco S. Matsumura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

Developments In Macro Finance Yield Curve Modelling

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Author : Jagjit S. Chadha
language : en
Publisher: Cambridge University Press
Release Date : 2014-02-06

Developments In Macro Finance Yield Curve Modelling written by Jagjit S. Chadha and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-06 with Business & Economics categories.

State-of-the-art research from academics and policymakers on the role of and challenges to monetary policy during the ongoing financial crisis.

Forecasting Financial Time Series Using Model Averaging

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Author : Francesco Ravazzolo
language : en
Publisher: Rozenberg Publishers
Release Date : 2007

Forecasting Financial Time Series Using Model Averaging written by Francesco Ravazzolo and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

Believing in a single model may be dangerous, and addressing model uncertainty by averaging different models in making forecasts may be very beneficial. In this thesis we focus on forecasting financial time series using model averaging schemes as a way to produce optimal forecasts. We derive and discuss in simulation exercises and empirical applications model averaging techniques that can reproduce stylized facts of financial time series, such as low predictability and time-varying patterns. We emphasize that model averaging is not a "magic" methodology which solves a priori problems of poorly forecasting. Averaging techniques have an essential requirement: individual models have to fit data. In the first section we provide a general outline of the thesis and its contributions to previ ous research. In Chapter 2 we focus on the use of time varying model weight combinations. In Chapter 3, we extend the analysis in the previous chapter to a new Bayesian averaging scheme that models structural instability carefully. In Chapter 4 we focus on forecasting the term structure of U.S. interest rates. In Chapter 5 we attempt to shed more light on forecasting performance of stochastic day-ahead price models. We examine six stochastic price models to forecast day-ahead prices of the two most active power exchanges in the world: the Nordic Power Exchange and the Amsterdam Power Exchange. Three of these forecasting models include weather forecasts. To sum up, the research finds an increase of forecasting power of financial time series when parameter uncertainty, model uncertainty and optimal decision making are included.

Estimating And Interpreting Forward Interest Rates

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Author : Mr.Lars E. O. Svensson
language : en
Publisher: International Monetary Fund
Release Date : 1994-09-01

Estimating And Interpreting Forward Interest Rates written by Mr.Lars E. O. Svensson and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-09-01 with Business & Economics categories.

The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.

Comparing Models For Forecasting The Yield Curve

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Author : Marco Shinobu Matsumura
language : en
Publisher:
Release Date : 2015

Comparing Models For Forecasting The Yield Curve written by Marco Shinobu Matsumura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages and disadvantages, and it is an empirical matter to evaluate the performance of the approaches. This exercise compares 4 alternative models for the term structure using 3 different markets: the Brazilian domestic and sovereign market and the US market.

Term Structure Modeling And Estimation In A State Space Framework

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Author : Wolfgang Lemke
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-12-08

Term Structure Modeling And Estimation In A State Space Framework written by Wolfgang Lemke and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-12-08 with Business & Economics categories.

This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.

Dynamic Factor Models

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Author : Siem Jan Koopman
language : en
Publisher: Emerald Group Publishing
Release Date : 2016-01-08

Dynamic Factor Models written by Siem Jan Koopman and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-08 with Business & Economics categories.

This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.