Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
DOI10.1016/J.JECONOM.2005.07.018zbMATH Open1418.62379OpenAlexW1967933262MaRDI QIDQ291853FDOQ291853
Authors: Alexei V. Egorov, Yongmiao Hong, Haitao Li 
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.018
Recommendations
- Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
- A joint econometric model of macroeconomic and term-structure dynamics
- Prediction bias correction for dynamic term structure models
value at riskaffine term structure modelsdensity forecastfinancial risk managementfixed-income portfolio managementprobability integral transform
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)
Cites Work
- Forecasting the term structure of government bond yields
- A theory of the term structure of interest rates
- Estimation of affine asset pricing models using the empirical characteristic function
- Remarks on a Multivariate Transformation
- Title not available (Why is that?)
- An equilibrium characterization of the term structure
- The solution of dynamic linear rational expectations models
- A Reality Check for Data Snooping
- Title not available (Why is that?)
- Consistent Testing for Serial Correlation of Unknown Form
- Optimal forecast combinations under general loss functions and forecast error distributions
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- Title not available (Why is that?)
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
Cited In (6)
- Forecasts of US short-term interest rates: a flexible forecast combination approach
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates
- Likelihood-based scoring rules for comparing density forecasts in tails
- Testing conditional asymmetry: a residual-based approach
- Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
Uses Software
This page was built for publication: Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q291853)
