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Validating Forecasts of the Joint Probability Density of Bond Yields:...
Density forecast Affine term structure models Probability integral transform Financial risk management Value at risk Fixed-income portfolio management
2011/4/2
Most existing empirical studies on affine term structure models (ATSMs) have mainly focused on in-sample goodness-of-fit of historical bond yields and ignored out-of-sample forecast of future bond yie...