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Long-horizon yield curve projections: comparison of semi-parametric and parametric approaches

Listed author(s):
  • Ken Nyholm
  • Riccardo Rebonato
Registered author(s):

    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.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701630048
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    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 18 (2008)
    Issue (Month): 20 ()
    Pages: 1597-1611

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    Handle: RePEc:taf:apfiec:v:18:y:2008:i:20:p:1597-1611
    DOI: 10.1080/09603100701630048
    Contact details of provider: Web page: http://www.tandfonline.com/RAFE20

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