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dc.contributor.authorLi, H.*
dc.contributor.authorYe, Xiaoxia*
dc.contributor.authorYu, F.*
dc.date.accessioned2017-12-22T08:53:56Z
dc.date.available2017-12-22T08:53:56Z
dc.date.issued28/07/2016
dc.identifier.citationLi H, Ye X and Yu F (2016) A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidence.en_US
dc.identifier.urihttp://hdl.handle.net/10454/14322
dc.descriptionNo
dc.description.abstractMotivated 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.en_US
dc.language.isoenen_US
dc.subjectNon-Markov
dc.subjectGaussian dynamic term structure models
dc.subjectExcess returns
dc.subjectInternational bond markets
dc.subjectMoving averages
dc.subjectForecasting
dc.titleA Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidenceen_US
dc.status.refereedNo
dc.typeReport
dc.type.versionNo full-text in the repository
dc.identifier.doihttps://doi.org/10.2139/ssrn.2155538
dc.openaccess.statusclosedAccess


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