A New Perspective on Gaussian Dynamic Term Structure Models

• 成果类型: Article
• 署名作者: Joslin, Scott; Singleton, Kenneth J.; Zhu, Haoxiang
• 署名单位: Massachusetts Institute of Technology (MIT); Stanford University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq128
• 发表日期: 2011
• 页码: 926
• 关键词: PREMIA

摘要

In any canonical Gaussian dynamic term structure model (GDTSM), the conditional forecasts of the pricing factors are invariant to the imposition of no-arbitrage restrictions. This invariance is maintained even in the presence of a variety of restrictions on the factor structure of bond yields. To establish these results, we develop a novel canonical GDTSM in which the pricing factors are observable portfolios of yields. For our normalization, standard maximum likelihood algorithms converge to the global optimum almost instantaneously. We present empirical estimates and out-of-sample forecasts for several GDTSMs using data on U.S. Treasury bond yields.