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Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic N...
We estimate versions of the Nelson-Siegel model of the yield curve of US government bonds using a Markov switching latent variable model that allows for discrete changes in the... -
Forecasting interest rates with shifting endpoints (replication data)
We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time-varying mean or... -
UNCOVERING THE COMMON RISK-FREE RATE IN THE EUROPEAN MONETARY UNION (replicat...
We introduce longitudinal factor analysis (LFA) to extract the common risk-free (CRF) rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits... -
STRATEGIC ASSET ALLOCATION FOR LONG-TERM INVESTORS: PARAMETER UNCERTAINTY AND...
We study the effect of parameter uncertainty on the long-run risk for three asset classes: stocks, bills and bonds. Using a Bayesian vector autoregression with an uninformative...
