Bond calculations with a general term structure
Forecasting the Term Structure of Government Bond Yields
... produce term-structure forecasts at both short and long horizons, with encouraging ...active bond portfolio management, and arbitrage-free ...
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Forecasting the term structure of government bond yields
... This Draft: October 14, 2003 Abstract: Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. ...
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Forecasting the Term Structure of Government Bond Yields
... Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither ...
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Term Structure Estimation for U.S. Corporate Bond Yields
... a bond index should not be treated as the market ...corporate bond portfolios, and diversifiable risk is ...analyzing bond portfolios. It thus does not justify the use of bond indexes as an ...
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The empirical failure of the expectations hypothesis of the term structure of bond yields
... the term structure of interest rates, we investigate the possibility of increasing test power by expanding the VAR model to allow macroe- conomic variables as conditioning ...the term ...
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The empirical failure of the expectations hypothesis of the term structure of bond yields
... the term structure and the macroeconomy is considered and when the VARs were extended to include more than two bond ...the term structure and the unemployment and in‡ation rates is ...
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Modelling International Bond Markets with Affine Term Structure Models
... driving term structures and exchange rates across the US and UK, suggesting that diversification benefits from holding currency-hedged bond portfolios in these markets are likely to be ...
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Forecasting the term structure of government bond yields in unstable environments
... Keywords: Term Structure of Interest Rates; Nelson-Siegel; Dynamic Model Averaging; Bayesian Methods; Term ...‘Term Structure Dynamics with Many Macroe- conomic ...
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Forecasting the term structure of government bond yields in unstable environments
... Keywords: Term Structure of Interest Rates; Nelson-Siegel; Dynamic Model Averaging; Bayesian Methods; Term ...‘Term Structure Dynamics with Many Macroe- conomic ...
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General Quadratic Term Structures of Bond, Futures and Forward Prices
... volatility structure, but for linear factors we can allow for a more general (stochastic) functional form and study the implications for this more general volatility structure in terms of ...
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Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia
... diagonal structure of H t in ...run term structure volatilities are not predictable based on macroeconomic ...of term structure curvature risk confirming our results ...
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Modelling the term structure of Japanese bond yields with the Nelson-Siegel model
... To save space, we show in Figure 1 the time-series of zero-coupon yield curves for 3-, 12-, 60-, 120- and 360-month bonds, based on monthly raw data from January 2000 to November 2007. Two observations can be noticed: ...
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The Term Structure of Bond Risk Premia - Pricing Macroeconomic Sources of Risk
... Whilst the MGM model is convenient, it is not ideal. First, it is heavily parameterised which can create numerical problems in …nding the maximum of the likelihood function due to the likelihood being surface relatively ...
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The influence of auditor term length and term limits onUS state general obligation bond ratings
... auditor term limits and state credit ratings suggesting that states that have adopted a term limit (after the second four-year term) feature significantly higher credit ...a term limit, the ...
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Bond Relative Value Models and Term Structure of Credit Spreads: A Simplified Approach
... for term structure of credit spreads This section presents an approach for work tool so market practitioners can firstly, assess the relative price of a bond in view of less tangible pricing factors ...
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Canonical term-structure models with observable factors and the dynamics of bond risk premiums
... of bond yields, namely expectations and Jensen’s inequality adjustments: this is achieved by deriving the no-arbitrage bond yields that would be observed if the market were populated by risk-neutral ...
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Does The Expectations Hypothesis Explain The Term Structure Of Treasury Bond Yields In Tunisia?
... AIC: Akaike information criterion ; SBIC: Schwarz Bayesian information criterion ; HQIC : Hannan–Quinn information criterion ; LR : likelihood-ratio. Before presenting the results of cointegration tests between the ...
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A General Characterization of One Factor Affine Term Structure Models
... AFFINE TERM STRUCTURE MODELS DAMIR FILIPOVI ´ C ...affine term structure mod- els based on a general nonnegative Markov short rate ...
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Electronic Structure Calculations of Carbon Nanomaterials
... Electronic Structure Calculations of Carbon Nanomaterials Shuji Obata Physics Laboratory, Faculty of Science and Engineering, Tokyo Denki University, Hiki, Saitama 350-03, Japan Various carbon materials ...
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Electronic structure calculations at macroscopic scales
... design a mesh which convects with the atomic position and obtain efficient convergence. Further, the approach is demonstrated using three sets of examples: The first set of examples are atoms. We begin with a hydrogen ...
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