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)

• Yield curves from different bond data sets
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• Forecasting the 10-year US Treasury rate
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• 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
• A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
• The stochastic string model as a unifying theory of the term structure of interest rates
• Dynamic functional data analysis with non-parametric state space models
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• Detecting a structural change in functional time series using local Wilcoxon statistic
• Modeling Nelson-Siegel yield curve using Bayesian approach
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• Optimal annuity portfolio under inflation risk
• Multi-curve HJM modelling for risk management
• Effects of US quantitative easing on emerging market economies
• PREDICTING RETURNS IN US TREASURIES: DO TENTS MATTER?
• 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
• Heuristic optimisation in financial modelling
• Optimal investment for a retirement plan with deferred annuities
• Regression-based analysis of cointegration systems
• A hybrid spline-based parametric model for the yield curve
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• Forecasting the term structure when short-term rates are near zero
• Bayesian inference in a stochastic volatility Nelson-Siegel model
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• Modeling the risk in mortality projections
• Robust forecasting of multiple yield curves
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• A nonparametric estimator for the covariance function of functional data
• A note on influence diagnostics in AR(1) time series models
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• 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
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• The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises
• Adaptive dynamic Nelson-Siegel term structure model with applications
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• Government spending and heterogeneous consumption dynamics
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• The effects of conventional and unconventional monetary policy on forecasting the yield curve
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• YieldCurve
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• The macroeconomy and the yield curve: a dynamic latent factor approach
• What does the yield curve tell us about GDP growth?

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