期限(时间)
计量经济学
样品(材料)
收益率曲线
仿射期限结构模型
主成分分析
债券
计算机科学
透视图(图形)
信息结构
经济
金融经济学
财务
人工智能
物理
哲学
量子力学
色谱法
化学
语言学
作者
Hitesh Doshi,Kris Jacobs,Rui Liu
出处
期刊:Management Science
[Institute for Operations Research and the Management Sciences]
日期:2021-08-01
卷期号:67 (8): 5255-5277
被引量:2
标识
DOI:10.1287/mnsc.2020.3715
摘要
The existing literature finds that information not captured by traditional term structure factors helps predict excess bond returns. When estimating no-arbitrage affine term structure models, aligning in-sample and out-of-sample objective functions results in term structure factors that capture information that remains hidden from existing approaches. Specifically, the estimates of the third term structure factor radically differ and are related to the fourth principal component, which helps forecast bond returns. The new objective function leads to substantial improvements in forecasting performance. It also results in higher model term premiums and lower expected future short rates. This paper was accepted by David Simchi-Levi, finance.
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