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Dynamic modeling approach to forecast the term structure of government bond yields

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 curves. However, little attention is paid to review if such restriction will improve yield forecast. We evaluate the importance of arbitrage-free restriction on dynamic Nelson-Siegel term structure when forecasting yield curves. We find that it doesn’t help. We also compare these two Nelson-Siegel dynamic models with a benchmark dynamic model and show that Nelson-Siegel structure improve forecasts for long-maturity yields. / text

Identiferoai:union.ndltd.org:UTEXAS/oai:repositories.lib.utexas.edu:2152/22587
Date09 December 2013
CreatorsFu, Min, active 2013
Source SetsUniversity of Texas
LanguageEnglish
Detected LanguageEnglish
TypeThesis
Formatelectronic
RightsCopyright is held by the author. Presentation of this material on the Libraries' web site by University Libraries, The University of Texas at Austin was made possible under a limited license grant from the author who has retained all copyrights in the works.

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