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Unifying Gaussian Dynamic Term Structure Models from an HJM PerspectiveLi, H., Ye, Xiaoxia, Fu, F. 08 February 2016 (has links)
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.
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A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International EvidenceLi, H., Ye, Xiaoxia, Yu, F. 2016 July 1928 (has links)
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.
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