Forecasting the Term Structure of Government Bond Yields
Language: en
Pages: 17
Authors: Francis X. Diebold
Categories: Government securities
Type: BOOK - Published: 2003 - Publisher:

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Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecas
Forecasting the Term Structure of Government Bond Yields Using Credit Spreads and Structural Breaks
Language: en
Pages: 34
Authors: Azamat Abdymomunov
Categories:
Type: BOOK - Published: 2015 - Publisher:

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In this paper, we investigate whether credit spread curve information helps forecast the government bond yield curve and whether the joint dynamics of the gover
Dynamic Modeling Approach to Forecast the Term Structure of Government Bond Yields
Language: en
Pages: 58
Authors: Min Fu
Categories:
Type: BOOK - Published: 2013 - Publisher:

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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
Forecasting the Term Structure of Government Bond Yields in Unstable Environments
Language: en
Pages: 53
Authors: Joseph Byrne
Categories:
Type: BOOK - Published: 2019 - Publisher:

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In this paper we model and predict the term structure of US interest rates in a data-rich and unstable environment. The dynamic Nelson-Siegel factor model is ex
Yield Curve Modeling and Forecasting
Language: en
Pages: 223
Authors: Francis X. Diebold
Categories: Business & Economics
Type: BOOK - Published: 2013-01-15 - Publisher: Princeton University Press

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Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing f