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Exploiting Predictability in the Time-Varying Shape of the Term Structure of Interest Rates
This paper presents evidence of predictability in the time-varying shape of the U.S. term structure of interest rates using a robust recursive modelling approach based on a Bayesian mixture of multi-factor models.
Author(s):
Frank J. FabozziFrederick Frank Adjunct Professor of Finance at Yale School of Management in New Haven, CT
Professor of Finance and Scientific Director of the EDHEC Risk and Asset Management Research Centre
Derivatives Strategist at HSBC-CCF in Paris and Associate Professor in the Department of Mathematics at the University of Evry Val d'Essonne, France.
| Type: | Working paper |
|---|---|
| Date: | le 06/08/2007 |
| Extra information : | Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC. |
| Research Cluster : | Finance |
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Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
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