Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?

DOI10.1016/J.JECONOM.2005.07.018MaRDI QIDQ291853zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

value at riskaffine term structure modelsdensity forecastfinancial risk managementfixed-income portfolio managementprobability integral transform

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)

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Cites work

• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• scientific article; zbMATH DE number 758455 (Why is no real title available?)
• scientific article; zbMATH DE number 837911 (Why is no real title available?)
• A Reality Check for Data Snooping
• A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• Consistent Testing for Serial Correlation of Unknown Form
• Estimation of affine asset pricing models using the empirical characteristic function
• Forecasting the term structure of government bond yields
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Maximum likelihood estimation of time-inhomogeneous diffusions.
• Optimal forecast combinations under general loss functions and forecast error distributions
• Remarks on a Multivariate Transformation
• The solution of dynamic linear rational expectations models
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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

Describes a project that uses

Uses Software

• CAViaR

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