Change-Points in Affine Arbitrage-Free Term Structure Models
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chib, Siddhartha | - |
dc.contributor.author | Kang, Kyu Ho | - |
dc.date.accessioned | 2021-09-06T11:50:56Z | - |
dc.date.available | 2021-09-06T11:50:56Z | - |
dc.date.created | 2021-06-14 | - |
dc.date.issued | 2013 | - |
dc.identifier.issn | 1479-8409 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/106618 | - |
dc.description.abstract | In this paper, we investigate the timing of structural changes in yield curve dynamics in the context of an arbitrage-free, one latent and two macroeconomic factors, affine term structure model. We suppose that all parameters in the model are subject to changes at unknown time points. We fit a number of models to the U.S. term structure data and find support for three change-points. We also find that the term structure and the risk premium are materially different across regimes and that the out-of-sample forecasts of the term structure improve from incorporating regime changes. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | OXFORD UNIV PRESS | - |
dc.subject | MARGINAL LIKELIHOOD | - |
dc.subject | INTEREST-RATES | - |
dc.subject | REGIME SHIFTS | - |
dc.subject | ECONOMY | - |
dc.subject | OUTPUT | - |
dc.title | Change-Points in Affine Arbitrage-Free Term Structure Models | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kang, Kyu Ho | - |
dc.identifier.doi | 10.1093/jjfinec/nbs004 | - |
dc.identifier.scopusid | 2-s2.0-84875278201 | - |
dc.identifier.wosid | 000316420100003 | - |
dc.identifier.bibliographicCitation | JOURNAL OF FINANCIAL ECONOMETRICS, v.11, no.2, pp.302 - 334 | - |
dc.relation.isPartOf | JOURNAL OF FINANCIAL ECONOMETRICS | - |
dc.citation.title | JOURNAL OF FINANCIAL ECONOMETRICS | - |
dc.citation.volume | 11 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 302 | - |
dc.citation.endPage | 334 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | MARGINAL LIKELIHOOD | - |
dc.subject.keywordPlus | INTEREST-RATES | - |
dc.subject.keywordPlus | REGIME SHIFTS | - |
dc.subject.keywordPlus | ECONOMY | - |
dc.subject.keywordPlus | OUTPUT | - |
dc.subject.keywordAuthor | G12 | - |
dc.subject.keywordAuthor | C11 | - |
dc.subject.keywordAuthor | E43 | - |
dc.subject.keywordAuthor | Bayesian inference | - |
dc.subject.keywordAuthor | change-points | - |
dc.subject.keywordAuthor | macro-finance | - |
dc.subject.keywordAuthor | marginal likelihood | - |
dc.subject.keywordAuthor | Markov chain Monte Carlo | - |
dc.subject.keywordAuthor | regime changes | - |
dc.subject.keywordAuthor | state-space model | - |
dc.subject.keywordAuthor | stochastic discount factor | - |
dc.subject.keywordAuthor | term premium | - |
dc.subject.keywordAuthor | yield curve | - |
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