Consistent yield curve prediction

DOI10.1017/ASB.2015.30MaRDI QIDQ4563766zbMATH OpenOpenAlexFDO

Authors Josef Teichmann, Mario V. Wüthrich

Publication date 4 June 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/d9c8e529fa91fc1520840f5098e23ced1a089517

zbMATH Keywords

Heath-Jarrow-Morton type modelno-arbitragevolatility scaling factors and return directionsyield curve prediction

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

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• Causal inference in econometrics
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Cited in

(12)

• A hybrid spline-based parametric model for the yield curve
• Robust forecasting of multiple yield curves
• Analytical validation formulas for best estimate calculation in traditional life insurance
• Forecasting of yield curves using local state space reconstruction
• scientific article; zbMATH DE number 6692423 (Why is no real title available?)
• ARBITRAGE SMOOTHING IN FITTING A SEQUENCE OF YIELD CURVES
• scientific article; zbMATH DE number 1304896 (Why is no real title available?)
• Multi-curve HJM modelling for risk management
• Consistent recalibration of yield curve models
• Yield curve forecast combinations based on bond portfolio performance
• Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach
• Multiple yield curve modeling and forecasting using deep learning

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