Models of the yield curve and the curvature of the implied forward rate function

Yallup, Peter

doi:10.1016/j.jbankfin.2011.06.010

Cited by 13 publications

(20 citation statements)

References 33 publications

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“…Como forma de usar los indicadores económicos para mejorar el análisis de las inversiones, véase Tainer (1998). Para entender los diferentes procedimientos de estimación de la ETTI se recomienda Martellini et al (2003), BIS (2005) y Yallup (2012).…”

Section: Estructura Temporal De Los Tipos De Interésunclassified

“…de dichas estrategias. Para entender las formas de estimación de la ETTI, recomendamos la lecturade Fabozzi (1993de Fabozzi ( , 1997,Martellini et al (2003),Yallup (2012) y Andrada-Félix et al (2013a, entre otros.Los profesionales del mercado utilizan desde hace mucho tiempo numerosas estrategias de renta fija, y de forma paralela se ha ido desarrollando una prolija literatura académica con el fin de buscar evidencia empírica a dichas estrategias de inversión. El trabajo seminal de donde arranca la posibilidad de construir estrategias de renta fija inmunizadas frente a los cambios en los tipos de interés hay que buscarlo enMacaulay (1938), quien introduce el concepto de duración, aunque asociado a la gestión de fondos de pensiones.…”

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La estructura temporal de los tipos de interés: estrategias de negociación en renta fija

Félix

Fernández-Pérez

Rodríguez

2014

Cuadernos de Economía

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Estructura temporal de tipos de interés; Duración y convexidad; Estrategias de negociación; Renta fija Resumen En este trabajo ofrecemos una visión general y actualizada sobre diferentes estrategias de negociación en activos de renta fija que hacen uso de la estructura temporal de tipos de interés (ETTI) en su implementación. Con dicho propósito, hemos comenzado analizando el riesgo de tipos de interés, para posteriormente resumir un conjunto de estrategias de gestión pasiva y activa sobre carteras de renta fija.

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Section: Estructura Temporal De Los Tipos De Interésunclassified

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La estructura temporal de los tipos de interés: estrategias de negociación en renta fija

Félix

Fernández-Pérez

Rodríguez

2014

Cuadernos de Economía

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“…In our view, this is a key aspect of our estimation method: extant procedures have not clearly addressed how to construct confidence intervals for proposed estimators of the discount/yield curve and its dynamics; see, e.g. Diebold and Li (2006) and Yallup (2012). Indeed, in practice, our estimated yield curve can be applied to evaluate the meaningful impact of implemented monetary policies on the economy and identify any significant discrepancy between observed bond prices and the estimated prices so as to price new issues or evaluate investors' trading strategies.…”

Section: Introductionmentioning

confidence: 99%

Estimation of a nonparametric model for bond prices from cross-section and time series information

Koo

Vecchia

Linton³

2021

Journal of Econometrics

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We develop estimation methodology for an additive nonparametric panel model that is suitable for capturing the pricing of coupon-paying government bonds followed over many time periods. We use our model to estimate the discount function and yield curve of nominally riskless government bonds. The novelty of our approach is the combination of two different techniques: cross-sectional nonparametric methods and kernel estimation for time varying dynamics in the time series context. The resulting estimator is used for predicting individual bond prices given the full schedule of their future payments. In addition, it is able to capture the yield curve shapes and dynamics commonly observed in the fixed income markets. We establish the consistency, the rate of convergence, and the asymptotic normality of the proposed estimator. A Monte Carlo exercise illustrates the good performance of the method under different scenarios. We apply our methodology to the daily CRSP bond market dataset, and compare ours with the popular Diebold and Li (2006) method.

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“…There are different approaches to estimating a yield curve, but they are just curve fitting techniques. The literature examines different models and the numerical techniques (e.g., Bliss, 1996;Bolder & Gusba, 2002;Jordan & Mansi, 2003;Bolder, Johnson, & Metzler, 2004;Yallup, 2012;Andreasen, Christensen, & Rudebusch, 2017). These papers focus on the ability of alternative models and methodologies to replicate sets of bond prices.…”

Section: Introductionmentioning

confidence: 99%

Zero-coupon interest rates: Evaluating three alternative datasets

Díaz

Jareño

Navarro

2019

Economic Research-Ekonomska Istraživanja

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The zero-coupon yield curve is a common input for most financial purposes. We consider three popular yield curve datasets and explore the extent to which the decision as to what dataset to use for a particular application may have an impact on the results. Many term structure papers evaluate alternative models for estimating zero coupon bonds based on their ability to replicate bond prices. However, in this paper we take a step forward by analyzing the consequences of using these alternative datasets in estimates of other moments and variables such as interest rate volatilities or the resulting forward rates and their correlations. After finding significant differences, we also explore the existence of volatility spillover effects among these three datasets. Finally, we illustrate the relevance of the choice of one particular dataset by examining the differences that may arise when testing the expectations hypothesis. In the conclusions, we provide guidance to end users in selecting a particular dataset.

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Models of the yield curve and the curvature of the implied forward rate function

Cited by 13 publications

References 33 publications

La estructura temporal de los tipos de interés: estrategias de negociación en renta fija

La estructura temporal de los tipos de interés: estrategias de negociación en renta fija

Estimation of a nonparametric model for bond prices from cross-section and time series information

Zero-coupon interest rates: Evaluating three alternative datasets

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