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Consistent yield curve prediction

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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001  MAP20160024111
003  MAP
005  20160809145703.0
008  160805e20160502usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20160009804‎$a‎Teichmann, Josef
24510‎$a‎Consistent yield curve prediction‎$c‎Yosef Teichmann, Mario V. Wüthrich
520  ‎$a‎This 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
7001 ‎$0‎MAPA20160009972‎$a‎Wülthrich, Mario
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎02/05/2016 Volumen 46 Número 2 - mayo 2016 , p. 191-224