Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
نویسندگان
چکیده
منابع مشابه
Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
This paper provides a significant numerical evidence for out-of-sample forecasting ability of linear Gaussian interest rate models with unobservable underlying factors. We calibrate one, two and three factor linear Gaussian models using the Kalman filter on two different bond yield data sets and compare their out-of-sample forecasting performance. One step ahead as well as four step ahead out-o...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2009
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2008.01.035