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What Drives Short Rate Dynamics? A Functional Gradient Descent Approach

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  • Francesco Audrino

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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 39 (2012)
Issue (Month): 3 (March)
Pages: 315-335

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Handle: RePEc:kap:compec:v:39:y:2012:i:3:p:315-335

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Web page: http://www.springerlink.com/link.asp?id=100248
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Related research

Keywords: Functional gradient descent; Short rate process; Macroeconomic variables; Time-varying drift and volatility dynamics; C14; C52; E43; E44; E47;

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References

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  1. GlennD. Rudebusch & Tao Wu, 2008. "A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 118(530), pages 906-926, 07.
  2. Andrew Ang & Monika Piazzesi, 2001. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," NBER Working Papers 8363, National Bureau of Economic Research, Inc.
  3. Francesco Audrino & Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen 2007-24, Department of Economics, University of St. Gallen.
  4. Stanton, Richard, 1997. " A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 52(5), pages 1973-2002, December.
  5. David A. Chapman & Neil D. Pearson, 2000. "Is the Short Rate Drift Actually Nonlinear?," Journal of Finance, American Finance Association, American Finance Association, vol. 55(1), pages 355-388, 02.
  6. Audrino, Francesco, 2006. "Tree-Structured Multiple Regimes in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 24, pages 338-353, July.
  7. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 177-188, November.
  8. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(3), pages 253-63, July.
  9. Sam, Abdoul G. & Jiang, George J., 2009. "Nonparametric Estimation of the Short Rate Diffusion Process from a Panel of Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(05), pages 1197-1230, October.
  10. Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006. "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 309-338.
  11. Francesco Audrino & Marcelo Cunha Medeiros, 2010. "Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging," Textos para discussão 570, Department of Economics PUC-Rio (Brazil).
  12. Francesco Audrino & Enrico De Giorgi, . "Beta Regimes for the Yield Curve," IEW - Working Papers 244, Institute for Empirical Research in Economics - University of Zurich.
  13. Ravi Bansal & George Tauchen & Hao Zhou, 2004. "Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 22, pages 396-409, October.
  14. Federico M. Bandi & Peter C. B. Phillips, 2003. "Fully Nonparametric Estimation of Scalar Diffusion Models," Econometrica, Econometric Society, Econometric Society, vol. 71(1), pages 241-283, January.
  15. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 365-380, October.
  16. Andrew Ang & Sen Dong, 2005. "No-Arbitrage Taylor Rules," 2005 Meeting Papers 22, Society for Economic Dynamics.
  17. Ravi Bansal & Hao Zhou, 2001. "Term structure of interest rates with regime shifts," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-46, Board of Governors of the Federal Reserve System (U.S.).
  18. Pritsker, Matt, 1998. "Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 449-87.
  19. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 385-407, March.
  20. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
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Cited by:
  1. Nikolay Robinzonov & Gerhard Tutz & Torsten Hothorn, 2012. "Boosting techniques for nonlinear time series models," AStA Advances in Statistical Analysis, Springer, Springer, vol. 96(1), pages 99-122, January.

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