Yes / We develop an intensity-based model of municipal yields, making simultaneous use of the CDS premiums of the insurers and both insured and uninsured municipal bond transactions. We estimate the model individually for 61 municipal issuers by exploiting the dramatic decline in credit quality of the bond insurers from July 2007 to June 2008, and decompose the municipal yield spread based on the estimated parameters. The decomposition reveals a dominant role of the liquidity component as well as interactions between liquidity and default similar to those modeled by Chen et al. (2016) for corporate bonds. Towards the end of the sample period, our model also reproduces the "yield inversion" phenomenon documented by Bergstresser et al. (2010).

No / We show that the unified HJM-based approach of constructing Gaussian dynamic term structure models developed by Li, Ye, and Yu (2016) nests most existing GDTSMs as special cases. We also discuss issues of interest rate derivatives pricing under this approach and using integration to construct Markov representations of HJM models.

No / Motivated by an extensive literature showing that government bond yields exhibit a strong non-Markov property, in the sense that moving averages of long-lagged yields significantly improve the predictability of excess bond returns. We then develop a systematic approach of constructing non-Markov Gaussian dynamic term structure models (GDTSMs) under the Heath-Jarrow-Morton (HJM) framework. Compared to the current literature, our approach is more flexible and parsimonious, enabling us to estimate an economically significant non-Markov effect that helps predict excess bond returns both in-sample and out-of-sample.

Yes / This is a pioneering effort to test the comparative performance of two competing models for out-of-sample forecasting the term structure of volatility of crude oil price changes employing both symmetric and asymmetric evaluation criteria. Under symmetric error statistics, our empirical model using the estimated growth factor of volatility through time is overall superior, and it beats in most cases the benchmark model of the square-root-of-time for holding periods between one and 250 days. Under asymmetric error statistics, if over-prediction (under-prediction) of volatility is undesirable, the empirical (benchmark) model is consistently superior. Relative performance of the empirical model is much higher for holding periods up to fifty days.

Submitted by Andre Akamine (andre_akamine@yahoo.com.br) on 2014-02-25T19:51:22Z No. of bitstreams: 1 dissertacao-andre_akamine -versao final.pdf: 1090370 bytes, checksum: 2cc992eb83cbdbf42457a77eeb02dffa (MD5) / Approved for entry into archive by Vera Lúcia Mourão (vera.mourao@fgv.br) on 2014-02-25T20:48:28Z (GMT) No. of bitstreams: 1 dissertacao-andre_akamine -versao final.pdf: 1090370 bytes, checksum: 2cc992eb83cbdbf42457a77eeb02dffa (MD5) / Made available in DSpace on 2014-02-26T12:20:22Z (GMT). No. of bitstreams: 1 dissertacao-andre_akamine -versao final.pdf: 1090370 bytes, checksum: 2cc992eb83cbdbf42457a77eeb02dffa (MD5) Previous issue date: 2014-01-29 / Com o objetivo de analisar o impacto na Estrutura a Termos de Volatilidade (ETV) das taxas de juros utilizando dois diferentes modelos na estimação da Estrutura a Termo das Taxas de Juros (ETTJ) e a suposição em relação a estrutura heterocedástica dos erros (MQO e MQG ponderado pela duration), a técnica procede em estimar a ETV utilizando-se da volatilidade histórica por desvio padrão e pelo modelo auto-regressivo Exponentially Weighted Moving Average (EWMA). Por meio do teste de backtesting proposto por Kupiec para o VaR paramétrico obtido com as volatilidades das ETV´s estimadas, concluí-se que há uma grande diferença na aderência que dependem da combinação dos modelos utilizados para as ETV´s. Além disso, há diferenças estatisticamente significantes entre as ETV´s estimadas em todo os pontos da curva, particularmente maiores no curto prazo (até 1 ano) e nos prazos mais longos (acima de 10 anos). / For the purpose of analyzing the impact in Volatility Term Structure (VTS) of interest rate using two different models in the estimation of the Term Structure of Interest Rates (TSIR) and the assumption regarding the heterocedastic structure of errors (OLS and GLS weighted by duration), the technique proceeds in estimating the VTS using the historical volatility by the standard deviation and autoregressive model Exponentially Weighted Moving Average (EWMA). Through the backtesting test proposed by Kupiec for parametric VaR obtained with the volatilities of VTS’s estimate, conclude that there is a big difference in adherence that depend on the combination of the models used for VTS’s. In addition, there is statistically significant differences between the VTS’s estimated around the points of the curve, specially higher in the short term (less than 1 year) and long term (over 10 years).

Thesis (MSc)--Stellenbosch University, 2014. / ENGLISH ABSTRACT: This work analysis the main macro-finance models of the term structure of interest rates that determines the joint dynamics of the term structure and the macroeconomic fundamentals under no-arbitrage approach. There has been a long search during the past decades of trying to study the relationship between the term structure of interest rates and the economy, to the extent that much of recent research has combined elements of finance, monetary economics, and the macroeconomics to analyse the term structure. The central interest of the thesis is based on two important notions. Firstly, it is picking up from the important work of Ang and Piazzesi (2003) model who suggested a joint macro- finance strategy in a discrete time affine setting, by also imposing the classical Taylor (1993) rule to determine the association between yields and macroeconomic variables through monetary policy. There is a strong intuition from the Taylor rule literature that suggests that such macroeconomic variables as in inflation and real activity should matter for the interest rate, which is the monetary policy instrument. Since from this important framework, no-arbitrage macro-finance approach to the term structure of interest rates has become an active field of cross-disciplinary research between financial economics and macroeconomics. Secondly, the importance of forecasting the yield curve using the variations on the Nelson and Siegel (1987) exponential components framework to capture the dynamics of the entire yield curve into three dimensional parameters evolving dynamically. Nelson-Siegel approach is a convenient and parsimonious approximation method which has been trusted to work best for fitting and forecasting the yield curve. The work that has caught quite much of interest under this framework is the generalized arbitrage-free Nelson-Siegel macro- nance term structure model with macroeconomic fundamentals, (Li et al. (2012)), that characterises the joint dynamic interaction between yields and the macroeconomy and the dynamic relationship between bond risk-premia and the economy. According to Li et al. (2012), risk-premia is found to be closely linked to macroeconomic activities and its variations can be analysed. The approach improves the estimation and the challenges on identication of risk parameters that has been faced in recent macro-finance literature. / AFRIKAANSE OPSOMMING: Hierdie werk ontleed die makro- nansiese modelle van die term struktuur van rentekoers pryse wat die gesamentlike dinamika bepaal van die term struktuur en die makroekonomiese fundamentele faktore in 'n geen arbitrage wêreld. Daar was 'n lang gesoek in afgelope dekades gewees wat probeer om die verhouding tussen die term struktuur van rentekoerse en die ekonomie te bestudeer, tot die gevolg dat baie onlangse navorsing elemente van nansies, monetêre ekonomie en die makroekonomie gekombineer het om die term struktuur te analiseer. Die sentrale belang van hierdie proefskrif is gebaseer op twee belangrike begrippe. Eerstens, dit tel op by die belangrike werk van die Ang and Piazzesi (2003) model wat 'n gesamentlike makro- nansiering strategie voorstel in 'n diskrete tyd a ene ligging, deur ook die klassieke Taylor (1993) reël om assosiasie te bepaal tussen opbrengste en makroekonomiese veranderlikes deur middel van monetêre beleid te imposeer. Daar is 'n sterk aanvoeling van die Taylor reël literatuur wat daarop dui dat sodanige makroekonomiese veranderlikes soos in asie en die werklike aktiwiteit moet saak maak vir die rentekoers, wat die monetêre beleid instrument is. Sedert hierdie belangrike raamwerk, het geen-arbitrage makro- nansies benadering tot term struktuur van rentekoerse 'n aktiewe gebied van kruis-dissiplinêre navorsing tussen nansiële ekonomie en makroekonomie geword. Tweedens, die belangrikheid van voorspelling van opbrengskromme met behulp van variasies op die Nelson and Siegel (1987) eksponensiële komponente raamwerk om dinamika van die hele opbrengskromme te vang in drie dimensionele parameters wat dinamies ontwikkel. Die Nelson-Siegel benadering is 'n gerie ike en spaarsamige benaderingsmetode wat reeds vertrou word om die beste pas te bewerkstellig en voorspelling van die opbrengskromme. Die werk wat nogal baie belangstelling ontvang het onder hierdie raamwerk is die algemene arbitrage-vrye Nelson-Siegel makro- nansiele term struktuur model met makroekonomiese grondbeginsels, (Li et al. (2012)), wat kenmerkend van die gesamentlike dinamiese interaksie tussen die opbrengs en die makroekonomie en die dinamiese verhouding tussen band risiko-premies en die ekonomie is. Volgens Li et al. (2012), word risiko-premies bevind om nou gekoppel te wees aan makroekonomiese aktiwiteite en wat se variasies ontleed kan word. Die benadering verbeter die skatting en die uitdagings van identi- sering van risiko parameters wat teegekom is in die afgelope makro- nansiese literatuur.

Si l’immobilier est de loin la plus importante classe d’actifs de notre économie, elle est également l’une des dernières à ne pas disposer d’un marché de dérivés mature. Des études académiques récentes ont montré que le manque de compréhension de leurs prix en est la principale raison. Ce travail doctoral cherche à y remédier. Par la conduite d’études à la fois théoriques et empiriques, nous sommes parvenus à déterminer leurs caractéristiques statistiques, leurs facteurs de risque mais aussi à appréhender l’intérêt de ces produits en terme de fonction de découverte des prix. Si les dérivés immobiliers constituent un outil de paramétrisation du risque immobilier essentiel, ils offrent également la possibilité aux investisseurs comme aux pouvoirs publics de disposer d’informations qui ne seraient pas disponibles autrement / Despite the fact that real estate is the largest asset class in our economy, it is one of the few that do not have a mature derivatives market. Recent academic studies have shown that the lack of understanding of real estate derivatives’ prices is the main reason for the absence of a market. This dissertation aims to change this. By conducting theoretical and empirical studies we describe their statistical characteristics, their risk factors, and we highlight their importance in terms of price discovery function. Property derivatives are an essential tool for risk management, but they also offer for investors and regulators a source of information that would otherwise not be available

This thesis enhances rare literature focusing on modeling and forecasting of term structure of crude oil markets. Using dynamic Nelson-Siegel model, crude oil term structure is decomposed to three latent factors, which are further forecasted using both parametric and dynamic neural network approaches. In-sample fit using Nelson-Siegel model brings encouraging results and proves its applicability on crude oil futures prices. Forecasts obtained by focused time-delay neural network are in general more accurate than other benchmark models. Moreover, forecast error is decreasing with increasing time to maturity.

M.Com. (Financial Economics) / The use of the yield curve spread in forecasting future recessions has become popular as it is a simple tool to use, due to the positive relationship between the yield curve spread and economic activity. The inversion or flattening of the yield curve spread usually signals a future recession. This has been the subject of several studies both internationally and in South Africa. This research provides an analysis of the yield curve spread’s ability to accurately forecast future recessions in South Africa through the use of three probit models. Furthermore, the yield curve spread’s ability to estimate is compared to that of share prices, using the JSE All Share Index. This research extends on studies by Khomo and Aziakpono (2006) and Clay and Keeton (2011), who used the static and dynamic probit models to forecast recessions in South Africa. In addition to these models, this research also makes use of the business cycle conditionally independent probit model for estimation. The findings suggest that share prices improve the yield curve spread’s ability to forecast recessions when estimating using the static probit model; however when comparing the results between the financial variables, the yield curve spread continues to produce the best forecast of recessions in South Africa. These results support those of Khomo and Aziakpono (2006) and Clay and Keeton (2011). Of the three probit models, the dynamic probit model estimate using the yield curve spread produced the most accurate forecast of recessions one quarter ahead. Therefore, the yield curve spread continues to provide the most accurate forecast of recessions in South Africa.

Para que um operador de uma mesa proprietária de um banco consiga fornecer um preço competitivo e de forma a auferir lucro em uma operação é fundamental uma estimação adequada da estrutura a termo da taxa de juros. Afinal, cada uma dessas demandas e ofertas por liquidez exigem diferentes prazos e na grande maioria das vezes instrumentos utilizados para realizar a imunização de acordo com o prazo dessa operação não estão disponíveis para negociação no mercado financeiro. A construção de uma estrutura a termo de juros é uma forma de sintetizar em uma única curva toda a informação disponível de contratos negociáveis no mercado financeiro e que reproduzam o preço mais justo para a taxa de juros de um determinado prazo. O objetivo do presente trabalho é implementar a estimação da estrutura a termo da taxa de juros brasileira utilizando-se do método de taxas a termo constantes entre as reuniões do Comitê de Política Monetária (Copom). O algoritmo implementado deve ser capaz de resolver a estimação num tempo suficientemente rápido para que seja possível agregá-lo em um sistema de cotações de mercado em tempo real e fornecer aos operadores de mercado informações completas da curva de juros com as taxas zero cupom e as taxas a termo para cada prazo. Nesta dissertação serão apresentados detalhes da implementação do algoritmo e também do arcabouço teórico utilizado. Será apresentando também uma breve descrição da dinâmica do mercado de juros brasileiro e suas peculiaridades, além de apresentar alguns métodos de estimação da estrutura a termo comumente utilizados. / For an operator of a bank to be able to provide a competitive price and to make a profit in an operation, an adequate estimation of the term structure of the interest rate is essential. After all, each of these demands and offers for liquidity require different terms and in most cases the instruments used to carry out the immunization according to the term of this operation are not available for trading in the financial market. The construction of an interest rate term structure is a way of synthesizing in a single curve all the available information of contracts negotiable in the financial market and that best reproduces the fairer price for the interest rate of a certain term. The main purpose of this work is implement the estimation of the Brazilian term structure of interest rate using the flat forward rate method between Copom meetings. The implemented algorithm must be able to resolve the estimation in a sufficiently fast time so that it can be aggregated into a real-time market quotations system and provide to market operators information on the yield curve and forward rates. This dissertation will present the algorithm implementation in detais as well as the theoretical framework used. It will also present a brief description of the dynamics of the Brazilian interest market and its peculiarities, besides presenting some methods of estimation of the term structure commonly used.