Consistent yield curve prediction

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<title>Consistent yield curve prediction</title>
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<namePart>Teichmann, Josef</namePart>
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<namePart>Wülthrich, Mario</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Yosef Teichmann, Mario V. Wüthrich</note>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
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<text>02/05/2016 Volumen 46 Número 2 - mayo 2016 , p. 191-224</text>
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