Dynamic Modeling Approach to Forecast the Term Structure of Government Bond Yields
Download or Read eBook Dynamic Modeling Approach to Forecast the Term Structure of Government Bond Yields PDF written by Min Fu and published by . This book was released on 2013 with total page 58 pages. Available in PDF, EPUB and Kindle.
Author | : Min Fu |
Publisher | : |
Total Pages | : 58 |
Release | : 2013 |
ISBN-10 | : OCLC:864823139 |
ISBN-13 | : |
Rating | : 4/5 (39 Downloads) |
Book Synopsis Dynamic Modeling Approach to Forecast the Term Structure of Government Bond Yields by : Min Fu
Book excerpt: Since arbitrage-free is a desirable theoretical feature in a healthy financial market, many efforts have been made to construct arbitrage-free models for yield curves. However, little attention is paid to review if such restriction will improve yield forecast. We evaluate the importance of arbitrage-free restriction on dynamic Nelson-Siegel term structure when forecasting yield curves. We find that it doesn't help. We also compare these two Nelson-Siegel dynamic models with a benchmark dynamic model and show that Nelson-Siegel structure improve forecasts for long-maturity yields.