Affine term structure models: forecasting the Colombian yield curve

Superior modeling of the yield curve is useful for asset pricing, financial planning, and risk management. In this article, we estimate five affine term structure models using daily Colombian data. We find that a three-factor model outperforms the other models in one and five days ahead forecasts. T...

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Autores:
Velásquez-Giraldo, Mateo
Restrepo-Tobón, Diego A.
Tipo de recurso:
Fecha de publicación:
2015
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
eng
OAI Identifier:
oai:repository.eafit.edu.co:10784/7858
Acceso en línea:
http://hdl.handle.net/10784/7858
Palabra clave:
Term structure
Forecasting
Interest rates
Multifactor models
Estructura a plazo
Pronóstico
Tasas de interés
Modelos multifactoriales
Rights
License
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