Centro de Documentacion de Fundación MAPFRE - Consistent yield curve prediction

Notes: 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 modelRelated records: 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. 191-224Otros autores: Wülthrich, Mario
Other categories: 6

Rights: In Copyright (InC)

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