Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/62930 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorCarriero, Andreaen
dc.date.accessioned2012-09-20T13:02:14Z-
dc.date.available2012-09-20T13:02:14Z-
dc.date.issued2007-
dc.identifier.urihttp://hdl.handle.net/10419/62930-
dc.description.abstractIn this paper we propose a strategy for forecasting the term structure of interest rates which may produce significant gains in predictive accuracy. The key idea is to use the restrictions implied by Affine Term Structure Models (ATSM) on a vector autoregression (VAR) as prior information rather than imposing them dogmatically. This allows to account for possible model misspecification. We apply the method to a system of five US yields, and we find that the gains in predictive accuracy can be substantial. In particular, for horizons longer than 1-step ahead, our proposed method produces systematically better forecasts than those obtained by using a pure ATSM or an unrestricted VAR, and it also outperforms very competitive benchmarks as the Minnesota prior, the Diebold-Li (2006) model, and the random walk.en
dc.language.isoengen
dc.publisher|aQueen Mary University of London, Department of Economics |cLondonen
dc.relation.ispartofseries|aWorking Paper |x612en
dc.subject.jelC11en
dc.subject.jelC53en
dc.subject.jelE43en
dc.subject.jelE47en
dc.subject.ddc330en
dc.subject.keywordBayesian methodsen
dc.subject.keywordForecastingen
dc.subject.keywordTerm structureen
dc.subject.stwKapitalmarkttheorieen
dc.subject.stwZinsstrukturen
dc.subject.stwZinsstrukturtheorieen
dc.subject.stwKapitalertragen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwTheorieen
dc.titleForecasting the Yield curve using priors from no arbitrage affine term structure models-
dc.typeWorking Paperen
dc.identifier.ppn548436436en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Datei(en):
Datei
Größe
439.66 kB





Publikationen in EconStor sind urheberrechtlich geschützt.