Methods for forecasting bond yields

marketJunk · August 27th, 2011, 4:16 am

Hello Experts, I am seeking methods to forecast bond yields. Can you please help me here ?Thanks

marketJunk · August 27th, 2011, 11:31 am

92 views and no reply. Folks, plz respond if you know something.

wickedwit · August 27th, 2011, 2:16 pm

forward yields?

4rcher · August 29th, 2011, 6:57 am

Check these articlesDiebold, F.X. and Li, C. (2006), ?Forecasting the Term Structure of Government Bond Yields,? Journal of Econometrics, 130, 337-364. Christensen, J.H.E., Diebold, F.X. and Rudebusch, G.D. (2010), "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," Journal of Econometrics, 164, 4-20.