Dynamic modeling approach to forecast the term structure of government bond yields
| dc.contributor.advisor | Carvalho, Carlos Marinho, 1978- | |
| dc.creator | Fu, Min, active 2013 | en |
| dc.date.accessioned | 2013-12-09T15:45:23Z | en |
| dc.date.available | 2013-12-09T15:45:23Z | en |
| dc.date.issued | 2013-05 | en |
| dc.description | text | en |
| dc.description.abstract | 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. | en |
| dc.description.department | Statistics | en |
| dc.format.medium | electronic | en |
| dc.identifier.uri | http://hdl.handle.net/2152/22587 | en |
| dc.language.iso | eng | en |
| dc.rights | Copyright 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. | en |
| dc.subject | Nelson-Siegel model | en |
| dc.subject | Arbitrage free | en |
| dc.subject | Yield curve | en |
| dc.title | Dynamic modeling approach to forecast the term structure of government bond yields | en |
| dc.type | Thesis | en |
| thesis.degree.department | Statistics | en |
| thesis.degree.discipline | Statistics | en |
| thesis.degree.grantor | The University of Texas at Austin | en |
| thesis.degree.level | Masters | en |
| thesis.degree.name | Master of Science in Statistics | en |