Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models
Authors:
- 1 October 2004
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 22 (4) , 457-473
Abstract
We provide a comprehensive analysis of the out-of-sample performance of a wide variety of spot rate models in forecasting the probability density of future interest rates. Although the most parsimo...Keywords
This publication has 50 references indexed in Scilit:
- Spectral GMM estimation of continuous-time processesJournal of Econometrics, 2003
- Regime Switches in Interest RatesJournal of Business & Economic Statistics, 2002
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation ApproachEconometrica, 2002
- Testing Density Forecasts, With Applications to Risk ManagementJournal of Business & Economic Statistics, 2001
- Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average modelsJournal of Futures Markets, 2000
- Transition Densities for Interest Rate and Other Nonlinear DiffusionsThe Journal of Finance, 1999
- Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset PricesThe Journal of Finance, 1998
- Estimating continuous-time stochastic volatility models of the short-term interest rateJournal of Econometrics, 1997
- Testing Continuous-Time Models of the Spot Interest RateThe Review of Financial Studies, 1996
- Another Look at Models of the Short-Term Interest RateJournal of Financial and Quantitative Analysis, 1996