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...
- 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
- Acceso abierto
| Summary: | 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. The model’s factors closely mimic empirical proxies for the level, the slope, and the curvature of the Colombian yield curve. |
|---|