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

affine term structure modelsdensity forecastfinancial risk managementfixed-income portfolio managementprobability integral transformvalue at risk

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

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• 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
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• Optimal forecast combinations under general loss functions and forecast error distributions
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Cited in

(6)

• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
• Forecasts of US short-term interest rates: a flexible forecast combination approach
• Testing conditional asymmetry: a residual-based approach
• 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

Describes a project that uses

Uses Software

• CAViaR

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