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.
| Identifer | oai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/14322 |
| Date | 28 July 2016 |
| Creators | Li, H., Ye, Xiaoxia, Yu, F. |
| Source Sets | Bradford Scholars |
| Language | English |
| Detected Language | English |
| Type | Report, No full-text in the repository |
Page generated in 0.0136 seconds