收益率曲线
计量经济学
经济
曲率
因子分析
协方差
期限(时间)
样品(材料)
贝叶斯概率
利率
数学
债券
Wishart分布
差异(会计)
统计
多元统计
物理
几何学
化学
财务
色谱法
量子力学
货币经济学
会计
作者
Ahjin Choi,Kyu Ho Kang
标识
DOI:10.1016/j.jbankfin.2023.106908
摘要
We propose a new dynamic Nelson–Siegel yield curve model in which two time-varying factor-specific decay parameters govern the slope and curvature factor loadings, and the factor shock variance–covariance (SV) follows a stochastic inverse Wishart process. The proposed model is compared with simpler specifications in terms of statistical and economic criteria to demonstrate the importance of jointly incorporating time-varying factor loadings and SV. We examine the out-of-sample yield curve density forecasting performance for statistical evaluation. The utility gain from the bond portfolio optimization of a Bayesian risk-averse investor measures the model's economic value. Our out-of-sample experiment using United States monthly yield curve data indicates that the time-varying factor loadings and SV accommodate gradual structural changes in the yield curve dynamics around an unconventional monetary policy period, thereby improving the predictive accuracy and utility gain.
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