Dynamic modeling approach to forecast the term structure of government bond yields
Since arbitrage-free is a desirable theoretical feature in a healthy financial market, many efforts have been made to construct arbitrage-free models for yield curves. However, little attention is paid to review if such restriction will improve yield forecast. We evaluate the importance of arbitrage...
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| Format: | Others |
| Language: | English |
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2013
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| Online Access: | http://hdl.handle.net/2152/22587 |