کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097474 | 1478583 | 2006 | 30 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Most existing empirical studies on affine term structure models (ATSMs) have mainly focused on in-sample goodness-of-fit of historical bond yields and ignored out-of-sample forecast of future bond yields. Using an omnibus nonparametric procedure for density forecast evaluation in a continuous-time framework, we provide probably the first comprehensive empirical analysis of the out-of-sample performance of ATSMs in forecasting the joint conditional probability density of bond yields. We find that although the random walk models tend to have better forecasts for the conditional mean dynamics of bond yields, some ATSMs provide better forecasts for the joint probability density of bond yields. However, all ATSMs considered are still overwhelmingly rejected by our tests and fail to provide satisfactory density forecasts. There exists room for further improving density forecasts for bond yields by extending ATSMs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 135, Issues 1â2, NovemberâDecember 2006, Pages 255-284
Journal: Journal of Econometrics - Volume 135, Issues 1â2, NovemberâDecember 2006, Pages 255-284
نویسندگان
Alexei V. Egorov, Yongmiao Hong, Haitao Li,