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Article: The dynamics of long forward rate term structures

TitleThe dynamics of long forward rate term structures
Authors
Luo, XZhang, JE
Issue Date2010
PublisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/
Citation
Journal Of Futures Markets, 2010, v. 30 n. 10, p. 957-982 How to Cite?
DOI: http://dx.doi.org/10.1002/fut.20447
AbstractIn this article, we look at study the dynamics of forward rates with maturities longer than 14 years. We re-document the phenomenon of the downward sloping long forward rate term structure using U.S. Treasury STRIPS data over the period 1988 to 2007. By calibrating Diebold F. X. and Li C.-L.'s (2006) dynamic Nelson C. R. and Siegel A. F. (1987) and Christensen J. H. E., Diebold F. X., and Rudebusch G. D.'s (2007) arbitrage-free Nelson-Siegel models, we find that both models explain the empirical phenomenon very well. Out-of-sample comparison shows that imposing no-arbitrage restriction indeed improves the forecasting performance. © 2010 Wiley Periodicals, Inc.
Persistent Identifierhttp://hdl.handle.net/10722/129433
ISSN
0270-7314
2021 Impact Factor: 2.350
2020 SCImago Journal Rankings: 0.880
ISI Accession Number ID
WOS:000280678100003
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorLuo, Xen_HK
dc.contributor.authorZhang, JEen_HK
dc.date.accessioned2010-12-23T08:37:12Z-
dc.date.available2010-12-23T08:37:12Z-
dc.date.issued2010en_HK
dc.identifier.citationJournal Of Futures Markets, 2010, v. 30 n. 10, p. 957-982en_HK
dc.identifier.issn0270-7314en_HK
dc.identifier.urihttp://hdl.handle.net/10722/129433-
dc.description.abstractIn this article, we look at study the dynamics of forward rates with maturities longer than 14 years. We re-document the phenomenon of the downward sloping long forward rate term structure using U.S. Treasury STRIPS data over the period 1988 to 2007. By calibrating Diebold F. X. and Li C.-L.'s (2006) dynamic Nelson C. R. and Siegel A. F. (1987) and Christensen J. H. E., Diebold F. X., and Rudebusch G. D.'s (2007) arbitrage-free Nelson-Siegel models, we find that both models explain the empirical phenomenon very well. Out-of-sample comparison shows that imposing no-arbitrage restriction indeed improves the forecasting performance. © 2010 Wiley Periodicals, Inc.en_HK
dc.languageengen_US
dc.publisherJohn Wiley & Sons, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/0270-7314/en_HK
dc.relation.ispartofJournal of Futures Marketsen_HK
dc.rightsThe Journal of Futures Markets. Copyright © John Wiley & Sons, Inc.-
dc.titleThe dynamics of long forward rate term structuresen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0270-7314&volume=30&issue=10&spage=957&epage=982&date=2010&atitle=The+Dynamics+of+Long+Forward+Rate+Term+Structures-
dc.identifier.emailZhang, JE: jinzhang@hku.hken_HK
dc.identifier.authorityZhang, JE=rp01125en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1002/fut.20447en_HK
dc.identifier.scopuseid_2-s2.0-77956133292en_HK
dc.identifier.hkuros177304en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77956133292&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume30en_HK
dc.identifier.issue10en_HK
dc.identifier.spage957en_HK
dc.identifier.epage982en_HK
dc.identifier.isiWOS:000280678100003-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridLuo, X=36451930100en_HK
dc.identifier.scopusauthoridZhang, JE=7601346659en_HK
dc.identifier.issnl0270-7314-

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