Term structure forecasting: no-arbitrage restrictions versus large information set

DOI10.1002/FOR.1181zbMATH Open1397.91582OpenAlexW1978032886MaRDI QIDQ4687252FDOQ4687252

Authors: Linlin Niu, Luca Sala, Carlo A. Favero 

Publication date: 11 October 2018

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

Full work available at URL: http://research.soe.xmu.edu.cn/repec/upload/2009571553497055475115776.pdf

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zbMATH Keywords

factor modelsyield curveinterest rateslarge datasetstate-space modeling framework

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
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• Estimating VAR models for the term structure of interest rates
• How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
• Adaptive dynamic Nelson-Siegel term structure model with applications

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