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Author : Marco S. Matsumura
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.30/5 ( download)
Download or read book Comparing Models for Forecasting the Yield Curve written by Marco S. Matsumura and published by . This book was released on 2006 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francis X. Diebold
Publisher : Princeton University Press
ISBN 13 : 0691146802
Total Pages : 223 pages
Book Rating : 4.05/5 ( download)
Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Author : Y. Stander
Publisher : Springer
ISBN 13 : 0230513743
Total Pages : 188 pages
Book Rating : 4.47/5 ( download)
Download or read book Yield Curve Modeling written by Y. Stander and published by Springer. This book was released on 2005-06-23 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book will give the reader insight into how to model yield curves in our incomplete and imperfect financial markets. An extensive list of yield curve models are shown and discussed. Using actual market instruments, these models are then applied and the different yield curves are compared. It is assumed that the reader has a basic understanding of the financial instruments available in the market. Various issues that have to be taken into account in practice are discussed, like daycount conventions, business-day rules, the credit quality of the instrument and liquidity to name but a few. It is also shown how yield curves can be used to estimate credit spreads and country risk premiums. Creating a yield curve model has some implications in risk management. Specifically - the model, operational, liquidity and basis risks are discussed.
Author : Ken Nyholm
Publisher : Cambridge University Press
ISBN 13 : 1108982301
Total Pages : 152 pages
Book Rating : 4.06/5 ( download)
Download or read book A Practitioner's Guide to Discrete-Time Yield Curve Modelling written by Ken Nyholm and published by Cambridge University Press. This book was released on 2021-01-07 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Element is intended for students and practitioners as a gentle and intuitive introduction to the field of discrete-time yield curve modelling. I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications. In addition to a thorough description of the Nelson-Siegel family of model, the Element contains a section on the intuitive relationship between P and Q measures, one on how the structure of a Nelson-Siegel model can be retained in the arbitrage-free framework, and a dedicated section that provides a detailed explanation for the Joslin, Singleton, and Zhu (2011) model.
Author : Mr.Mark P. Taylor
Publisher : International Monetary Fund
ISBN 13 : 145193145X
Total Pages : 38 pages
Book Rating : 4.57/5 ( download)
Download or read book Modelling the Yield Curve written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1991-12-01 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are unable to explain the term premium. A simple, market segmentation approach is, however, moderately successful in explaining the term premium.
Author : A. Berkelaar
Publisher : Springer
ISBN 13 : 0230251293
Total Pages : 366 pages
Book Rating : 4.98/5 ( download)
Download or read book Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds written by A. Berkelaar and published by Springer. This book was released on 2009-11-30 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.
Author : Frank Undorf
Publisher : GRIN Verlag
ISBN 13 : 366879247X
Total Pages : 60 pages
Book Rating : 4.70/5 ( download)
Download or read book Forecast evaluation methods: A Monte Carlo investigation and an application to the predictability of interest rates written by Frank Undorf and published by GRIN Verlag. This book was released on 2018-09-07 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2017 in the subject Economics - Statistics and Methods, grade: 1,0, University of Cologne (Institut für Ökonometrie und Statistik), language: English, abstract: Abstract: This thesis overviews selected forecast evaluation tests and attempts to link the concept of testing equal mean squared error and forecast encompassing within a common simple regression framework. A Monte Carlo analysis provides size and power properties for both a model-free and model-based environment. In particular, the encompassing regression based test assessing the null hypothesis of equal mean squared error offers beneficial size and power properties compared to the Diebold-Mariano test, at least in a conditional homoskedastic small sample framework without autocorrelation. A simple application of several tests is provided by comparing different interest rate prediction models like a time series model, a linear model with macroeconomic indicators and a dynamic yield curve model. It turns out that simple time series specifications are hard to outperform for most of the comparisons. However, indicators like the German stock market index or the ifo expectation indicator provide useful information for future German government bond yields. Contents: 1 Introduction 2 Forecast evaluation methods 2.1 Selected tests in a model-free environment 2.1.1 Forecast encompassing 2.1.2 Equal mean squared error 2.2 Selected tests in a model-based environment 2.2.1 Exemplary forecasting framework 2.2.2 Non-nested model structure 2.2.3 Nested model structure 2.2.4 Inference à la Giacomini and White (2006) 3 Monte Carlo evidence 3.1 Model-free framework 3.1.1 Size properties 3.1.2 Power properties 3.2 Model-based framework 3.2.1 Non-nested models 3.2.1.1 Size investigation 3.2.1.2 Power investigation 3.2.2 Nested models 3.2.2.1 Size investigation 3.2.2.2 Power investigation 4 Application: Predicting interest rates 4.1 Competing prediction models 4.1.1 Macro-indicator model 4.1.2 Pure time series model 4.1.3 Dynamic Svensson (1994) model 4.2 Results of pairwise comparison 4.3 Out-of-sample Granger causality 5 Conclusion
Author : Peter J. Brockwell
Publisher : Springer Science & Business Media
ISBN 13 : 038721657X
Total Pages : 443 pages
Book Rating : 4.77/5 ( download)
Download or read book Introduction to Time Series and Forecasting written by Peter J. Brockwell and published by Springer Science & Business Media. This book was released on 2006-04-10 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an introduction to time series that emphasizes methods and analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills. Statisticians and students will learn the latest methods in time series and forecasting, along with modern computational models and algorithms.
Author : Melvin Khomo
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783838349305
Total Pages : 112 pages
Book Rating : 4.0X/5 ( download)
Download or read book The Yield Curve As A Forecasting Tool written by Melvin Khomo and published by LAP Lambert Academic Publishing. This book was released on 2010-04 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread s predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and 10-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although it s best predictive power is seen at two quarters.
Author : Ronald J. Ryan
Publisher : Routledge
ISBN 13 : 9781884964749
Total Pages : 219 pages
Book Rating : 4.45/5 ( download)
Download or read book Yield Curve Dynamics written by Ronald J. Ryan and published by Routledge. This book was released on 1997-01-01 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: Yield-Curve Dynamics examines both the advanced theory and the practice of state-of-the-art techniques for modeling, trading and hedging. Topics include: single- and multi-factor models; applying yield-curve modeling to risk management; yield-curve volatility; options pricing models; and forecasting short-term interest rates. This is an important and useful book for anyone involved in risk management, trading, research, options and exotic derivatives, and currency markets.
