Term structure information and bond strategies
نویسندگان
چکیده
منابع مشابه
Interest Rates Term Structure Forecasting and Bond Portfolio Risk Management
The dynamic Nelson-Siegel-style models, which are popular in the literature of interest rates term structure forecasting, may be unstable because of the potential existence of unit roots in the parameter series. In this paper, the dynamic Nelson-Siegel-style models are modified by modelling the first-order differenced instead of original parameter series. Empirical study shows that the modified...
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In this paper, we propose a simple model for international bond investment. The investor can optimize a government bond portfolio in a discrete time horizon conditional on the common and local factors in international bond returns. The variation in the cross section and time series of treasury yields is captured by a joint affine term structure model (ATSM). Easy closed form solutions for the r...
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15 صفحه اولEntropy and Information in the Interest Rate Term Structure
Associated with every positive interest term structure there is a probability density function over the positive half line. This fact can be used to turn the problem of term structure analysis into a problem in the comparison of probability distributions, an area well developed in statistics, known as information geometry. The information-theoretic and geometric aspects of term structures thus ...
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ژورنال
عنوان ژورنال: Review of Quantitative Finance and Accounting
سال: 2012
ISSN: 0924-865X,1573-7179
DOI: 10.1007/s11156-012-0300-5