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
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oai:repository.eafit.edu.co:10784/7858 |
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REPOEAFIT2 |
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Repositorio EAFIT |
repository_id_str |
|
dc.title.eng.fl_str_mv |
Affine term structure models: forecasting the Colombian yield curve |
title |
Affine term structure models: forecasting the Colombian yield curve |
spellingShingle |
Affine term structure models: forecasting the Colombian yield curve Term structure Forecasting Interest rates Multifactor models Estructura a plazo Pronóstico Tasas de interés Modelos multifactoriales |
title_short |
Affine term structure models: forecasting the Colombian yield curve |
title_full |
Affine term structure models: forecasting the Colombian yield curve |
title_fullStr |
Affine term structure models: forecasting the Colombian yield curve |
title_full_unstemmed |
Affine term structure models: forecasting the Colombian yield curve |
title_sort |
Affine term structure models: forecasting the Colombian yield curve |
dc.creator.fl_str_mv |
Velásquez-Giraldo, Mateo Restrepo-Tobón, Diego A. |
dc.contributor.eafitauthor.none.fl_str_mv |
mvelas26@eafit.edu.co drestr16@eafit.edu.co |
dc.contributor.author.none.fl_str_mv |
Velásquez-Giraldo, Mateo Restrepo-Tobón, Diego A. |
dc.subject.keyword.eng.fl_str_mv |
Term structure Forecasting Interest rates Multifactor models |
topic |
Term structure Forecasting Interest rates Multifactor models Estructura a plazo Pronóstico Tasas de interés Modelos multifactoriales |
dc.subject.keyword.spa.fl_str_mv |
Estructura a plazo Pronóstico Tasas de interés Modelos multifactoriales |
description |
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. |
publishDate |
2015 |
dc.date.available.none.fl_str_mv |
2015-12-02T16:03:48Z |
dc.date.issued.none.fl_str_mv |
2015-12-02 |
dc.date.accessioned.none.fl_str_mv |
2015-12-02T16:03:48Z |
dc.type.eng.fl_str_mv |
workingPaper info:eu-repo/semantics/workingPaper |
dc.type.coarversion.fl_str_mv |
http://purl.org/coar/version/c_b1a7d7d4d402bcce |
dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_8042 |
dc.type.local.spa.fl_str_mv |
Documento de trabajo de investigación |
dc.type.hasVersion.eng.fl_str_mv |
draft |
dc.identifier.uri.none.fl_str_mv |
http://hdl.handle.net/10784/7858 |
dc.identifier.jel.none.fl_str_mv |
G12 G17 |
url |
http://hdl.handle.net/10784/7858 |
identifier_str_mv |
G12 G17 |
dc.language.iso.eng.fl_str_mv |
eng |
language |
eng |
dc.rights.coar.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
dc.rights.local.spa.fl_str_mv |
Acceso abierto |
rights_invalid_str_mv |
Acceso abierto http://purl.org/coar/access_right/c_abf2 |
dc.coverage.spatial.eng.fl_str_mv |
Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees |
dc.publisher.spa.fl_str_mv |
Universidad EAFIT |
dc.publisher.department.spa.fl_str_mv |
Escuela de Economía y Finanzas |
institution |
Universidad EAFIT |
bitstream.url.fl_str_mv |
https://repository.eafit.edu.co/bitstreams/6961672c-bef6-4245-b39c-e3c6c3ec9560/download https://repository.eafit.edu.co/bitstreams/4dae21c5-3f92-47a3-8129-7263a901f068/download |
bitstream.checksum.fl_str_mv |
76025f86b095439b7ac65b367055d40c 8215f114dfef65446f56ee70aad920a4 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 |
repository.name.fl_str_mv |
Repositorio Institucional Universidad EAFIT |
repository.mail.fl_str_mv |
repositorio@eafit.edu.co |
_version_ |
1814110177989754880 |
spelling |
Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees2015-12-02T16:03:48Z2015-12-022015-12-02T16:03:48Zhttp://hdl.handle.net/10784/7858G12G17Superior 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.Modelar de forma superior la curva de rendimientos es útil para valoración de activos, planeación financiera y administración de riesgos. En este artículo se estiman cinco modelos afines de la estructura a plazos colombiana usando datos diarios. Se encuentra que un modelo de tres factores tiene un desempeño superior a los demás modelos para pronósticos intra-muestrales y para pronósticos (fuera de la muestra) con horizontes de uno y cinco días. Los factores del modelo se asemejan a sus contrapartes empíricas del nivel, la pendiente y la curvatura de la curva de rendimientos colombiana.engUniversidad EAFITEscuela de Economía y FinanzasAffine term structure models: forecasting the Colombian yield curveworkingPaperinfo:eu-repo/semantics/workingPaperDocumento de trabajo de investigacióndrafthttp://purl.org/coar/version/c_b1a7d7d4d402bccehttp://purl.org/coar/resource_type/c_8042Acceso abiertohttp://purl.org/coar/access_right/c_abf2Term structureForecastingInterest ratesMultifactor modelsEstructura a plazoPronósticoTasas de interésModelos multifactorialesmvelas26@eafit.edu.codrestr16@eafit.edu.coVelásquez-Giraldo, MateoRestrepo-Tobón, Diego A.LICENSElicense.txtlicense.txttext/plain; charset=utf-82556https://repository.eafit.edu.co/bitstreams/6961672c-bef6-4245-b39c-e3c6c3ec9560/download76025f86b095439b7ac65b367055d40cMD51ORIGINAL2015_23_Diego_A_Restrepo.pdf2015_23_Diego_A_Restrepo.pdfDocumento de trabajo de investigaciónapplication/pdf2760777https://repository.eafit.edu.co/bitstreams/4dae21c5-3f92-47a3-8129-7263a901f068/download8215f114dfef65446f56ee70aad920a4MD5210784/7858oai:repository.eafit.edu.co:10784/78582024-03-05 14:06:04.167open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.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 |