Decomposing and Simulating the Movements of Term Structures of Interest Rates in Emerging Eurobond Markets

Factors affecting the yields of emerging market issuers: Evidence from the Asia-Pacific region

“…This is a concern of considerable importance for issuers in international markets from developing economies, as well as the portfolio managers who may be the ultimate investors. For example, current market practice assumes that the term structure (yield curve) for an emerging market issuer is based on the riskless "benchmark" curve, in practice in U.S. dollar markets, generally the term structure of U.S. government securities-plus a credit spread (De Almeida et al, 1998). The credit spread reflects the premium for default risk over an otherwise riskless security.…”

The role of no-arbitrage on forecasting: Lessons from a parametric term structure model

“…In this paper, we address the above mentioned points by testing how noarbitrage restrictions affect the forecasting ability and risk premium structure of a parametric term structure model 2 . We argue that parametric models are particularly appropriate to test the effects of no-arbitrage on forecasting, since they keep a fixed factor-loading structure that is independent of the underlying factors' dynamics.…”

“…2 The Legendre Polynomial Model Almeida et al (1998) proposed modeling the term structure of interest rates R(.) as a linear combination of Legendre polynomials 8 :…”

Forecasting the yield curve with linear factor models

“…The Legendre model (see Almeida, Duarte, & Fernandes 1998) is very similar to the NS model. The only difference is the parametric form of the loadings.…”