How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?

DOI10.1016/j.jeconom.2011.02.010zbMath1441.62260OpenAlexW2006862523MaRDI QIDQ737988

Andrea Carriero, Raffaella Giacomini

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.010

zbMATH Keywords

instabilityaffine term structure modelsforecast combinationloss functionsencompassing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites Work

• Forecasting the term structure of government bond yields
• Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
• Martingales and arbitrage in multiperiod securities markets
• Optimal forecast combinations under general loss functions and forecast error distributions
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Tests of Conditional Predictive Ability