Validating forecasts of the joint probability density of bond yields: can affine models beat random walk? (Q291853)
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scientific article; zbMATH DE number 6591853
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| English | Validating forecasts of the joint probability density of bond yields: can affine models beat random walk? |
scientific article; zbMATH DE number 6591853 |
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Validating forecasts of the joint probability density of bond yields: can affine models beat random walk? (English)
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10 June 2016
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density forecast
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affine term structure models
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probability integral transform
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financial risk management
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value at risk
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fixed-income portfolio management
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0.7299008369445801
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0.7219951152801514
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0.7131863832473755
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0.7120804190635681
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0.7069029808044434
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