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Consistent yield curve prediction
Recurso electrónico / Electronic resource
MAP20160024111
Teichmann, Josef ‌
Consistent yield curve prediction / Yosef Teichmann, Mario V. Wüthrich
Sumario: This article presents an arbitrage-free non-parametric yield curve prediction model which takes the full discretized yield curve data as input state variable. Absence of arbitrage is a particularly important model feature for prediction models in case of highly correlated data as, for instance, interest rates. Furthermore, the model structure allows to separate constructing the daily yield curve from estimating its volatility structure and from calibrating the market prices of risk. The empirical part includes tests on modeling assumptions, out-of-sample back-testing and a comparison with the Vasicek (1977) short-rate model
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 02/05/2016 Volumen 46 Número 2 - mayo 2016 , p. 191-224
I. Wülthrich, Mario ‌. II. Title.