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    A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidence

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    Publication date
    2016-07-28
    Author
    Li, H.
    Ye, Xiaoxia
    Yu, F.
    Keyword
    Non-Markov; Gaussian dynamic term structure models; Excess returns; International bond markets; Moving averages; Forecasting
    Peer-Reviewed
    No
    
    Metadata
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    Abstract
    Motivated by an extensive literature showing that government bond yields exhibit a strong non-Markov property, in the sense that moving averages of long-lagged yields significantly improve the predictability of excess bond returns. We then develop a systematic approach of constructing non-Markov Gaussian dynamic term structure models (GDTSMs) under the Heath-Jarrow-Morton (HJM) framework. Compared to the current literature, our approach is more flexible and parsimonious, enabling us to estimate an economically significant non-Markov effect that helps predict excess bond returns both in-sample and out-of-sample.
    URI
    http://hdl.handle.net/10454/14322
    Version
    No full-text in the repository
    Citation
    Li H, Ye X and Yu F (2016) A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidence.
    Link to publisher’s version
    https://dx.doi.org/10.2139/ssrn.2155538
    Type
    Report
    Collections
    Management and Law Publications

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