We show that machine learning methods, in particular, extreme trees and neural networks
(NNs), provide strong statistical evidence in favor of bond return predictability. NN forecasts …

This chapter reviews some of the academic literature that links nominal and real term
structures with the macroeconomy. The main conclusion is that none of our models is …

Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …

In the past three decades, we have witnessed the phenomenal growth in the trading of
financial derivatives and structured products in the financial markets around the globe and …

We derive the class of affine arbitrage-free dynamic term structure models that approximate
the widely used Nelson–Siegel yield curve specification. These arbitrage-free Nelson …

Changing interest rates constitute one of the major risk sources for banks, insurance
companies, and other financial institutions. Modeling the term-structure movements of …

The highly prized ability to make financial plans with some certainty about the future comes
from the core fields of economics. In recent years the availability of more data, analytical …

This paper proposes a consumption-based model that accounts for many features of the
nominal term structure of interest rates. The driving force behind the model is a time-varying …

We study the dynamic relation between market risks and risk premia using time series of
index option surfaces. We find that priced left tail risk cannot be spanned by market volatility …

This paper analyzes the role of jumps in continuous‐time short rate models. I first develop a
test to detect jump‐induced misspecification and, using Treasury bill rates, find evidence for …