IDEAS home Printed from https://ideas.repec.org/a/kap/apfinm/v10y2003i1p59-85.html
   My bibliography  Save this article

Prediction of Individual Bond Prices via a Dynamic Bond Pricing Model: Application to Japanese Government Bond Price Data

Author

Listed:
  • Hiroshi Tsuda

    ()

Abstract

In this paper, we propose a dynamic bond pricing model and report the usefulness of our bond pricing model based on analysis of Japanese Government bond price data. We extend the concept of the time dependent Markov (TDM) model proposed by Kariya and Tsuda (Financial Engineering and the Japanese Markets, Kluwer Academic Publishers, Dordrecht, The Netherlands, Vol. 1, pp. 1--20) to a dynamic model, which can obtain information for future bond prices. A main feature of the extended model is that the whole stochastic process of the random cash-flow discount functions of each individual bond has a time series structure. We express the dynamic structure for the models by using a Bayesian state space representation. The state space approach integrates cross-sectional and time series aspects of individual bond prices. From the empirical results, we find useful evidence that our model performs well for the prediction of the patterns of the term structure of the individual bond returns.

Suggested Citation

  • Hiroshi Tsuda, 2003. "Prediction of Individual Bond Prices via a Dynamic Bond Pricing Model: Application to Japanese Government Bond Price Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(1), pages 59-85.
  • Handle: RePEc:kap:apfinm:v:10:y:2003:i:1:p:59-85
    as

    Download full text from publisher

    File URL: http://journals.kluweronline.com/issn/1387-2834/contents
    Download Restriction: Access to the full text of the articles in this series is restricted.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:10:y:2003:i:1:p:59-85. 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: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.