کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096672 | 1376542 | 2011 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
We develop a general framework for analyzing the usefulness of imposing parameter restrictions on a forecasting model. We propose a measure of the usefulness of the restrictions that depends on the forecaster's loss function and that could be time varying. We show how to conduct inference about this measure. The application of our methodology to analyzing the usefulness of no-arbitrage restrictions for forecasting the term structure of interest rates reveals that: (1)Â the restrictions have become less useful over time; (2)Â when using a statistical measure of accuracy, the restrictions are a useful way to reduce parameter estimation uncertainty, but are dominated by restrictions that do the same without using any theory; (3)Â when using an economic measure of accuracy, the no-arbitrage restrictions are no longer dominated by atheoretical restrictions, but for this to be true it is important that the restrictions incorporate a time-varying risk premium.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 164, Issue 1, 1 September 2011, Pages 21-34
Journal: Journal of Econometrics - Volume 164, Issue 1, 1 September 2011, Pages 21-34
نویسندگان
Andrea Carriero, Raffaella Giacomini,