Forecasting the term structure of government bond yields
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Cites work
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- scientific article; zbMATH DE number 3084450 (Why is no real title available?)
- Interest rate dynamics and consistent forward rate curves
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Cited in
(only showing first 100 items - show all)- Comparison of non-linear optimization algorithms for yield curve estimation
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- The stochastic string model as a unifying theory of the term structure of interest rates
- A hybrid spline-based parametric model for the yield curve
- Predicting the yield curve using forecast combinations
- Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics
- A new summary measure of inflation expectations
- Scenario generation for long run interest rate risk assessment
- Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
- From bond yield to macroeconomic instability: a parsimonious affine model
- Term structure forecasting in affine framework with time-varying volatility
- Robust term structure estimation in developed and emerging markets
- Segmental dynamic factor analysis for time series of curves
- Simulation and evaluation of the distribution of interest rate risk
- Sparse-group independent component analysis with application to yield curves prediction
- Return seasonalities in government bonds and macroeconomic risk
- Forecasting the yield curve using a dynamic natural cubic spline model
- Forecasting the yield curve for the euro region
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- Heuristic optimisation in financial modelling
- Detecting a structural change in functional time series using local Wilcoxon statistic
- Varying coefficient functional autoregressive model with application to the U.S. treasuries
- Optimal investment for a retirement plan with deferred annuities
- Dynamic regression models for time-ordered functional data
- The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
- Arbitrage-free Nelson-Siegel model for multiple yield curves
- Inference in Bayesian additive vector autoregressive tree models
- The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises
- Risky forward interest rates and swaptions: quantum finance model and empirical results
- Affine arbitrage-free yield net models with application to the euro debt crisis
- Robust forecasting of multiple yield curves
- Government spending and heterogeneous consumption dynamics
- Yield curves from different bond data sets
- Empirical analysis and forecasting of multiple yield curves
- A differential evolution algorithm for yield curve estimation
- Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk
- Effects of US quantitative easing on emerging market economies
- Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
- Forecasting government bond spreads with heuristic models: evidence from the eurozone periphery
- 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
- Regression-based analysis of cointegration systems
- Optimal annuity portfolio under inflation risk
- Financial planning for Young households
- A modified arbitrage-free Nelson-Siegel model: an alternative affine term structure model of interest rates
- Artificial intelligence combined with nonlinear optimization techniques and their application for yield curve optimization
- A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies
- Optimal bond portfolios with fixed time to maturity
- What model for the target rate
- Approximately normal tests for equal predictive accuracy in nested models
- Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis
- Forecasting of yield curves using local state space reconstruction
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
- The macroeconomy and the yield curve: a dynamic latent factor approach
- What does the yield curve tell us about GDP growth?
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- Forecasting the 10-year US Treasury rate
- A finite-dimensional HJM model: How important is arbitrage-free evolution?
- Analysis of multifactor affine yield curve models
- Convolutional autoregressive models for functional time series
- Stationary and nonstationary behaviour of the term structure: a nonparametric characterization
- The yield curve and the macro-economy across time and frequencies
- A noisy principal component analysis for forward rate curves
- Pension scheme redesign and wealth redistribution between the members and sponsor: the USS rule change in October 2011
- A nonparametric estimator for the covariance function of functional data
- Estimate and forecasting of the Italian yield curve with multivariate GARCH models
- USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS
- ARBITRAGE SMOOTHING IN FITTING A SEQUENCE OF YIELD CURVES
- An arbitrage‐free generalized Nelson–Siegel term structure model
- scientific article; zbMATH DE number 1304896 (Why is no real title available?)
- Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates
- A note on influence diagnostics in AR(1) time series models
- Multi-curve HJM modelling for risk management
- Measuring the unmeasurable: an application of uncertainty quantification to treasury bond portfolios
- PREDICTING RETURNS IN US TREASURIES: DO TENTS MATTER?
- The real risk in pension forecasting
- Forecasting the US term structure of interest rates using nonparametric functional data analysis
- Term structure forecasting: no-arbitrage restrictions versus large information set
- Modeling and forecasting the yield curve by an extended Nelson-Siegel class of models: a quantile autoregression approach
- Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model
- Term structure forecasting of government bond yields with latent and macroeconomic factors: do macroeconomic factors imply better out-of-sample forecasts?
- Forecasting the term structure when short-term rates are near zero
- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
- Yield curve forecast combinations based on bond portfolio performance
- Adaptive dynamic Nelson-Siegel term structure model with applications
- Volatility information difference between CDS, options, and the cross section of options returns
- Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
- scientific article; zbMATH DE number 7339180 (Why is no real title available?)
- Scenario analysis for derivative portfolios via dynamic factor models
- Optimal retirement planning with a focus on single and joint life annuities
- Prediction bias correction for dynamic term structure models
- Nonparametric estimation of functional dynamic factor model
- Modeling the risk in mortality projections
- Cohort and value-based multi-country longevity risk management
- Dynamic functional data analysis with non-parametric state space models
- Generalized Nelson-Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?
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