CONSISTENT YIELD CURVE PREDICTION
Copyright policy )CONSISTENT YIELD CURVE PREDICTION
AbstractWe 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.
- ETH Zurich Switzerland
Applications of statistics to actuarial sciences and financial mathematics, Volatility scaling factors and return directions, Heath–Jarrow–Morton type model, No-arbitrage, yield curve prediction, Yield curve prediction; No-arbitrage; Heath–Jarrow–Morton type model; Volatility scaling factors and return directions, no-arbitrage, Heath-Jarrow-Morton type model, Yield curve prediction, Interest rates, asset pricing, etc. (stochastic models), volatility scaling factors and return directions
Applications of statistics to actuarial sciences and financial mathematics, Volatility scaling factors and return directions, Heath–Jarrow–Morton type model, No-arbitrage, yield curve prediction, Yield curve prediction; No-arbitrage; Heath–Jarrow–Morton type model; Volatility scaling factors and return directions, no-arbitrage, Heath-Jarrow-Morton type model, Yield curve prediction, Interest rates, asset pricing, etc. (stochastic models), volatility scaling factors and return directions
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