Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?

Journal of Econometrics

Volumn 135, Issue 1-2, 2006, Pages 255-284

  Egorov, Alexei V ^a   Hong, Yongmiao ^b,c   Li, Haitao ^d  

^a WEST VIRGINIA UNIVERSITY   (United States)

^b Department of Obstetrics Gynecology   (United States)

^c XIAMEN UNIVERSITY   (China)

^d UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Affine term structure models; Density forecast; Financial risk management; Fixed income portfolio management; Probability integral transform; Value at risk

Indexed keywords

ELECTRONIC COMMERCE; FINANCIAL DATA PROCESSING; FORECASTING; RISK MANAGEMENT; SAMPLING;

AFFINE TERM STRUCTURE MODELS; AFFINE TERM STRUCTURE MODELS (ATSM); DENSITY FORECAST; FINANCIAL RISK MANAGEMENT; FIXED INCOME PORTFOLIO MANAGEMENT; PROBABILITY INTEGRAL TRANSFORMS; VALUE AT RISK;

PROBABILITY DENSITY FUNCTION;

EID: 33747893590     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.07.018     Document Type: Article

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