Consistent yield curve prediction
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20160024111 | ||
| 003 | MAP | ||
| 005 | 20160809145703.0 | ||
| 008 | 160805e20160502usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20160009804$aTeichmann, Josef | |
| 245 | 1 | 0 | $aConsistent yield curve prediction$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 | ||
| 700 | 1 | $0MAPA20160009972$aWülthrich, Mario | |
| 773 | 0 | $wMAP20077000420$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 |