Term structure analysis with big data: one-step estimation using bond prices

DOI10.1016/j.jeconom.2019.04.019zbMath1452.62740OpenAlexW2940467594MaRDI QIDQ2323364

Martin Møller Andreasen, Glenn D. Rudebusch, Jens H. E. Christensen

Publication date: 2 September 2019

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.04.019

zbMATH Keywords

extended Kalman filterarbitrage-free Nelson-Siegel modelfixed-coupon bond prices

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Monetary reforms and inflation expectations in Japan: evidence from inflation-indexed bonds

Cites Work

• Unnamed Item
• Term structure models and the zero bound: an empirical investigation of Japanese yields
• The affine arbitrage-free class of Nelson-Siegel term structure models
• A hybrid spline-based parametric model for the yield curve
• The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
• Measuring the stance of monetary policy in zero lower bound environments
• Interest Rate Dynamics and Consistent Forward Rate Curves
• An arbitrage‐free generalized Nelson–Siegel term structure model
• Exact Smooth Term-Structure Estimation
• The TIPS Liquidity Premium

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