Advanced Search
MyIDEAS: Login to save this article or follow this journal

Forecasting for the Bank's Asset-Liability Management

Contents:

Author Info

  • Penikas, Henry

    ()
    (Higher School of Economics, Russia Yield Curve)

Registered author(s):

    Abstract

    The paper aims at finding the most optimal individual, collective, and combined yield curve forecasting models. It is shown that incorporating macroeconomic information improves the model's goodness-of-fit characteristics. It is also proved that combined forecasts perform better on average when are based upon weights for individual ones

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://pe.cemi.rssi.ru/pe_2008_4_03-26.pdf
    File Function: Full text
    Download Restriction: no

    Bibliographic Info

    Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

    Volume (Year): 12 (2008)
    Issue (Month): 4 ()
    Pages: 3-26

    as in new window
    Handle: RePEc:ris:apltrx:0022

    Contact details of provider:
    Web page: http://appliedeconometrics.cemi.rssi.ru/

    Related research

    Keywords: asset-liability management; combined forecast; MosPrime; Russia; yield curve;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Modugno, Michele & Nikolaou, Kleopatra, 2009. "The forecasting power of internal yield curve linkages," Working Paper Series 1044, European Central Bank.
    2. Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
    3. Qiang Dai & Kenneth J. Singleton, 1998. "Specification Analysis of Affine Term Structure Models," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-083, New York University, Leonard N. Stern School of Business-.
    4. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    5. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
    6. De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007.
    7. Darrell Duffie & Rui Kan, 1996. "A Yield-Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ris:apltrx:0022. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anatoly Peresetsky).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.