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Two essays on estimation and inferen...

Wang, Qian.

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Two essays on estimation and inference of affine term structure models.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Two essays on estimation and inference of affine term structure models./
作者:	Wang, Qian.
面頁冊數:	159 p.
附註:	Source: Dissertation Abstracts International, Volume: 76-09(E), Section: A.
Contained By:	Dissertation Abstracts International76-09A(E).
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3700043
ISBN:	9781321698947

Two essays on estimation and inference of affine term structure models.
Wang, Qian.

Two essays on estimation and inference of affine term structure models. - 159 p.

Source: Dissertation Abstracts International, Volume: 76-09(E), Section: A.

Thesis (Ph.D.)--Mississippi State University, 2015.

Affine term structure models (ATSMs) are one set of popular models for yield curve modeling. Given that the models forecast yields based on the speed of mean reversion, under what circumstances can we distinguish one ATSM from another? The objective of my dissertation is to quantify the benefit of knowing the "true" model as well as the cost of being wrong when choosing between ATSMs. In particular, I detail the power of out-of-sample forecasts to statistically distinguish one ATSM from another given that we only know the data are generated from an ATSM and are observed without errors. My study analyzes the power and size of affine term structure models (ATSMs) by evaluating their relative out-of-sample performance.

ISBN: 9781321698947Subjects--Topical Terms:

542899
Finance.

Two essays on estimation and inference of affine term structure models.
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245 1 0 $a Two essays on estimation and inference of affine term structure models.
300 $a 159 p.
500 $a Source: Dissertation Abstracts International, Volume: 76-09(E), Section: A.
500 $a Adviser: Kenneth D. Roskelley.
502 $a Thesis (Ph.D.)--Mississippi State University, 2015.
520 $a Affine term structure models (ATSMs) are one set of popular models for yield curve modeling. Given that the models forecast yields based on the speed of mean reversion, under what circumstances can we distinguish one ATSM from another? The objective of my dissertation is to quantify the benefit of knowing the "true" model as well as the cost of being wrong when choosing between ATSMs. In particular, I detail the power of out-of-sample forecasts to statistically distinguish one ATSM from another given that we only know the data are generated from an ATSM and are observed without errors. My study analyzes the power and size of affine term structure models (ATSMs) by evaluating their relative out-of-sample performance.
520 $a Essay one focuses on the study of the one-factor ATSMs. I find that the model's predictive ability is closely related to the bias of mean reversion estimates no matter what the true model is. The smaller the bias of the estimate of the mean reversion speed, the better the out-of-sample forecasts. In addition, my finding shows that the models' forecasting accuracy can be improved, in contrast, the power to distinguish between different ATSMs will be reduced if the data are simulated from a high mean reversion process with a large sample size and with a high sampling frequency.
520 $a In the second essay, I extend the question of interest to the multi-factor ATSMs. My finding shows that adding more factors in the ATSMs does not improve models' predictive ability. But it increases the models' power to distinguish between each other. The multi-factor ATSMs with larger sample size and longer time span will have more predictive ability and stronger power to differentiate between models.
590 $a School code: 0132.
650 4 $a Finance. $3 542899
690 $a 0508
710 2 $a Mississippi State University. $b Finance and Economics. $3 3189137
773 0 $t Dissertation Abstracts International $g 76-09A(E).
790 $a 0132
791 $a Ph.D.
792 $a 2015
793 $a English
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