CONSISTENT YIELD CURVE PREDICTION
Publication type: Journal Article
Publication date: 2016-02-05
scimago Q1
wos Q1
SJR: 1.138
CiteScore: 3.1
Impact factor: 1.8
ISSN: 05150361, 17831350
Economics and Econometrics
Finance
Accounting
Abstract
We present an arbitrage-free non-parametric yield curve prediction model which takes the full discretized yield curve data as input state variable. Absence of arbitrage is a particularly important model feature for prediction models in case of highly correlated data as, for instance, interest rates. Furthermore, the model structure allows to separate constructing the daily yield curve from estimating its volatility structure and from calibrating the market prices of risk. The empirical part includes tests on modeling assumptions, out-of-sample back-testing and a comparison with the Vasiček (1977) short-rate model.
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Metrics
7
Total citations:
7
Citations from 2024:
1
(14.29%)
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MLA
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RIS
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TY - JOUR
DO - 10.1017/asb.2015.30
UR - https://doi.org/10.1017/asb.2015.30
TI - CONSISTENT YIELD CURVE PREDICTION
T2 - ASTIN Bulletin
AU - TEICHMANN, JOSEF
AU - Wüthrich, Mario V
PY - 2016
DA - 2016/02/05
PB - Cambridge University Press
SP - 191-224
IS - 2
VL - 46
SN - 0515-0361
SN - 1783-1350
ER -
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BibTex (up to 50 authors)
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@article{2016_TEICHMANN,
author = {JOSEF TEICHMANN and Mario V Wüthrich},
title = {CONSISTENT YIELD CURVE PREDICTION},
journal = {ASTIN Bulletin},
year = {2016},
volume = {46},
publisher = {Cambridge University Press},
month = {feb},
url = {https://doi.org/10.1017/asb.2015.30},
number = {2},
pages = {191--224},
doi = {10.1017/asb.2015.30}
}
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MLA
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TEICHMANN, JOSEF, and Mario V Wüthrich. “CONSISTENT YIELD CURVE PREDICTION.” ASTIN Bulletin, vol. 46, no. 2, Feb. 2016, pp. 191-224. https://doi.org/10.1017/asb.2015.30.