How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?

DOI10.1016/j.jeconom.2011.02.010zbMath1441.62260MaRDI 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

zbMATH Keywords

instability; affine term structure models; forecast combination; loss functions; encompassing

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G30: Interest rates, asset pricing, etc. (stochastic models)

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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