How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
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Publication:737988
DOI10.1016/j.jeconom.2011.02.010zbMath1441.62260OpenAlexW2006862523MaRDI QIDQ737988
Andrea Carriero, Raffaella Giacomini
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.010
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (5)
A modified arbitrage-free Nelson-Siegel model: an alternative affine term structure model of interest rates ⋮ Theory-coherent forecasting ⋮ The effects of conventional and unconventional monetary policy on forecasting the yield curve ⋮ A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US ⋮ Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
Cites Work
- Forecasting the term structure of government bond yields
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- Martingales and arbitrage in multiperiod securities markets
- Optimal forecast combinations under general loss functions and forecast error distributions
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Tests of Conditional Predictive Ability
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