Forecasting the term structure of government bond yields

DOI10.1016/J.JECONOM.2005.03.005zbMATH Open1337.62324OpenAlexW3124477952MaRDI QIDQ94953FDOQ94953

Authors: Francis X. Diebold, Canlin Li 

Publication date: February 2006

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

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.12.1899

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zbMATH Keywords

factor modelNelson-Siegel curveterm structureyield curve

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited In (only showing first 100 items - show all)

• Predicting the yield curve using forecast combinations
• A genetic algorithm estimation of the term structure of interest rates
• Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates
• Bayesian inference in a stochastic volatility Nelson-Siegel model
• Optimal retirement planning with a focus on single and joint life annuities
• An arbitrage‐free generalized Nelson–Siegel term structure model
• Empirical analysis and forecasting of multiple yield curves
• The stochastic string model as a unifying theory of the term structure of interest rates
• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
• Inference in functional factor models with applications to yield curves
• Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
• Estimating VAR models for the term structure of interest rates
• A differential evolution algorithm for yield curve estimation
• Cohort and value-based multi-country longevity risk management
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• Convolutional autoregressive models for functional time series
• A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
• Heuristic optimisation in financial modelling
• A Bayesian approach to term structure modeling using heavy‐tailed distributions
• A note on influence diagnostics in AR(1) time series models
• Intelligible factors for the yield curve
• Do interest rate options contain information about excess returns?
• How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
• The yield curve and the macro-economy across time and frequencies
• A noisy principal component analysis for forward rate curves
• Forecasting the yield curve using a dynamic natural cubic spline model
• Regression-based analysis of cointegration systems
• A hybrid spline-based parametric model for the yield curve
• The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises
• Adaptive dynamic Nelson-Siegel term structure model with applications
• Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis
• Affine Nelson-Siegel model
• Government spending and heterogeneous consumption dynamics
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• A new summary measure of inflation expectations
• The effects of conventional and unconventional monetary policy on forecasting the yield curve
• Comparison of non-linear optimization algorithms for yield curve estimation
• YieldCurve
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• Return seasonalities in government bonds and macroeconomic risk
• Pension scheme redesign and wealth redistribution between the members and sponsor: the USS rule change in October 2011
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• Inference on co-integration parameters in heteroskedastic vector autoregressions
• Modeling the Risk in Mortality Projections
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• Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios
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• What does the yield curve tell us about GDP growth?
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• Optimal bond portfolios with fixed time to maturity
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• Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
• Financial planning for Young households
• Curve forecasting by functional autoregression
• Functional dynamic factor models with application to yield curve forecasting
• Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Monetary policy and the term structure of inflation expectations with information frictions
• Scenario generation for long run interest rate risk assessment
• Estimation and inference for high dimensional factor model with regime switching
• Yield curves from different bond data sets
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• Forecasting the 10-year US Treasury rate
• Multivariate dynamic regression: modeling and forecasting for intraday electricity load
• Better the devil you know: improved forecasts from imperfect models
• Time series of functional data with application to yield curves
• ARBITRAGE SMOOTHING IN FITTING A SEQUENCE OF YIELD CURVES
• The real risk in pension forecasting
• Arbitrage-free Nelson-Siegel model for multiple yield curves
• Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach
• Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter
• Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model
• A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
• Dynamic functional data analysis with non-parametric state space models
• Varying coefficient functional autoregressive model with application to the U.S. treasuries
• Detecting a structural change in functional time series using local Wilcoxon statistic
• Consistent curves in the -world: optimal bonds portfolio
• Title not available (Why is that?)
• Scenario analysis for derivative portfolios via dynamic factor models
• Banks' interest rate risk: the net interest income perspective versus the market value perspective
• Artificial intelligence combined with nonlinear optimization techniques and their application for yield curve optimization
• Optimal annuity portfolio under inflation risk
• Multi-curve HJM modelling for risk management
• Effects of US quantitative easing on emerging market economies
• Generalized Nelson–Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?
• PREDICTING RETURNS IN US TREASURIES: DO TENTS MATTER?
• Estimate and forecasting of the Italian yield curve with multivariate GARCH models
• On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case
• Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
• Uncertainty in functional principal component analysis
• Testing for Common Trends in Nonstationary Large Datasets
• Optimal investment for a retirement plan with deferred annuities

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