Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7347570 | Economic Modelling | 2018 | 10 Pages |
Abstract
This paper proposes a novel mixed-frequency affine term structure model to improving the fit and forecasting ability of yield curves. We also show the Bayesian estimation method related to this mixed-frequency model. Then we conduct an empirical study using Chinese macro and financial data. The empirical results show that compared with the traditional same-frequency affine model, the mixed-frequency affine model offers superior performance for fitting the yield curve and term structure factors. Specifically, this mixed-frequency affine model can provide more accurate out-of-sample forecast results of the yield curve.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yuhuang Shang, Tingguo Zheng,