Taking The Cochrane Piazzesi Term Structure Model Out Of Sample
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Taking The Cochrane Piazzesi Term Structure Model Out Of Sample
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Author : Robert J. Hodrick
language : en
Publisher:
Release Date : 2018
Taking The Cochrane Piazzesi Term Structure Model Out Of Sample written by Robert J. Hodrick and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
We examine the Cochrane and Piazzesi (2005, 2008) model in several out-of-sample analyzes. The model's one-factor forecasting structure characterizes the term structures of additional currencies in samples ending in 2003. In post-2003 data one-factor structures again characterize each currency's term structure, but we reject equality of the coefficients across the two samples. We derive some implications of the model for the predictability of cross-currency investments, but we find little support for these predictions in either pre-2004 or post-2003 data. The model fails to beat historical average returns in recursive out-or-sample forecasting of excess rates of return for bonds and currencies.
Pricing The Term Structure With Linear Regressions
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Author : Tobias Adrian
language : en
Publisher:
Release Date : 2013
Pricing The Term Structure With Linear Regressions written by Tobias Adrian and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
We show how to price the time series and cross-section of the term structure of interest rates using a three-step linear regression approach. Our method allows computationally fast estimation of term structure models with a large number of pricing factors. We present specification tests favoring a model using five principal components of yields as factors. We demonstrate that this model outperforms the Cochrane and Piazzesi (2008) four-factor specification in out-of-sample exercises but generates similar in-sample term premium dynamics. Our regression approach can also incorporate unspanned factors and allows estimation of term structure models without observing a zero-coupon yield curve.
Examining Simple Joint Macroeconomic And Term Structure Models
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Author : David Jamieson Bolder
language : en
Publisher:
Release Date : 2007
Examining Simple Joint Macroeconomic And Term Structure Models written by David Jamieson Bolder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Essays On Asset Pricing
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Author : Tuomas Tomunen
language : en
Publisher:
Release Date : 2020
Essays On Asset Pricing written by Tuomas Tomunen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
In recursive out-of-sample forecasts of excess rates of return on bonds in each currency, the Cochrane and Piazzesi (2008) term structure forecasting models fail to beat forecasts from the historical average excess rates of return. Graphical analysis indicates that the instability in the forecasting models' parameters begins in the global financial crisis.
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.
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.
Financial Markets And The Real Economy
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Author : John H. Cochrane
language : en
Publisher: Now Publishers Inc
Release Date : 2005
Financial Markets And The Real Economy written by John H. Cochrane and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Measuring Oil Price Shocks Using Market Based Information
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Author : Tao Wu
language : en
Publisher: DIANE Publishing
Release Date : 2010-10
Measuring Oil Price Shocks Using Market Based Information written by Tao Wu and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10 with Technology & Engineering categories.
The authors study the effects of oil-price shocks on the U.S economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, they classify them into various event types. They then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional vector auto-regression (VAR) approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand. Illustrations.
Handbook Of Economic Forecasting
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Author : Graham Elliott
language : en
Publisher: Elsevier
Release Date : 2013-08-23
Handbook Of Economic Forecasting written by Graham Elliott and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-23 with Business & Economics categories.
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Financial Econometrics
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Author : Yiu-Kuen Tse
language : en
Publisher: MDPI
Release Date : 2019-10-14
Financial Econometrics written by Yiu-Kuen Tse and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-14 with Business & Economics categories.
Financial econometrics has developed into a very fruitful and vibrant research area in the last two decades. The availability of good data promotes research in this area, specially aided by online data and high-frequency data. These two characteristics of financial data also create challenges for researchers that are different from classical macro-econometric and micro-econometric problems. This Special Issue is dedicated to research topics that are relevant for analyzing financial data. We have gathered six articles under this theme.