This paper investigates spillovers between the latent factors of the term structure of the
interest rates of the United States and selected South American countries. We show how …

Most factor-based forecasting models for the term structure of interest rates depend on a
fixed number of factor loading functions that have to be specified in advance. In this study …

We compare parametric and machine learning techniques (namely: Neural Networks) for in–
sample modeling of the yield curve of the BRICS countries (Brazil, Russia, India, China …

An examination of the statistical accuracy and economic value of modeling and forecasting
the term structure of interest rates using forecast combinations is considered. Five alternative …

In this paper we consider a novel procedure to forecasting the US zero coupon bond yields
for a continuum of maturities by using the methodology of nonparametric functional data …

We assess the extent to which the imposition of a no-arbitrage restriction on the dynamic
Nelson–Siegel model helps obtaining more accurate forecasts of the term structure. For that …

O presente trabalho compara os principais métodos de interpolação e ajuste da estrutura a
termo da curva de juros e apresenta os principais conceitos relativos às curvas de juros …

We propose a novel approach to measure risk in fixed income portfolios in terms of value-at-
risk (VaR). We obtain closed-form expressions for the vector of expected bond returns and …

In this paper we use Markowitz's approach to optimize bond portfolios. We derive closed
form expressions for the vector of expected bond returns and for their conditional covariance …

Существует множество моделей оценки кривой бескупонных доходностей облигаций.
Эти модели хорошо подходят для развитых рынков, где обращается большое число …