Long-horizon yield curve projections: comparison of semi-parametric and parametric approaches
Two methods for evolving forward the yield curve are evaluated and contrasted within a Monte Carlo experiment: one is originally presented by Rebonato et al. (2005) and the other by Bernadell et al. (2005). A detailed account for how to implement the models is also presented. Results suggest that the two techniques are complementary and able to capture important cross-sectional and time-series properties of observed yield curve data. Our results are of interest to practitioners in the financial markets as well as central banks who need accountable and history consistent procedures for generating long-term yield curve forecasts.
Volume (Year): 18 (2008)
Issue (Month): 20 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:18:y:2008:i:20:p:1597-1611. 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.