Methods for forecasting bond yields
Posted: August 27th, 2011, 4:16 am
by marketJunk
Hello Experts, I am seeking methods to forecast bond yields. Can you please help me here ?Thanks
Methods for forecasting bond yields
Posted: August 27th, 2011, 11:31 am
by marketJunk
92 views and no reply. Folks, plz respond if you know something.
Methods for forecasting bond yields
Posted: August 27th, 2011, 2:16 pm
by wickedwit
forward yields?
Methods for forecasting bond yields
Posted: August 29th, 2011, 6:57 am
by 4rcher
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.