Consistent yield curve prediction

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      <subfield code="a">Consistent yield curve prediction</subfield>
      <subfield code="c">Yosef Teichmann, Mario V. Wüthrich</subfield>
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      <subfield code="a">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</subfield>
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      <subfield code="a">Wülthrich, Mario</subfield>
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      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
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      <subfield code="g">02/05/2016 Volumen 46 Número 2 - mayo 2016 , p. 191-224</subfield>
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