Return to search

A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidence

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.

Identiferoai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/14322
Date2016 July 1928
CreatorsLi, H., Ye, Xiaoxia, Yu, F.
Source SetsBradford Scholars
LanguageEnglish
Detected LanguageEnglish
TypeReport, No full-text in the repository

Page generated in 0.002 seconds