Relevant bibliographies by topics / Yield curve term structure

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  2. Dissertations / Theses
  3. Books
  4. Book chapters
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Academic literature on the topic 'Yield curve term structure'

Author: Grafiati
Published: 4 June 2021
Last updated: 3 February 2022

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Journal articles on the topic "Yield curve term structure"

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FINLAY, RICHARD, and MARK CHAMBERS. "A Term Structure Decomposition of the Australian Yield Curve." Economic Record 85, no. 271 (December 2009): 383–400. http://dx.doi.org/10.1111/j.1475-4932.2009.00567.x.

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CIESLAK, ANNA, and PAVOL POVALA. "Information in the Term Structure of Yield Curve Volatility." Journal of Finance 71, no. 3 (May 11, 2016): 1393–436. http://dx.doi.org/10.1111/jofi.12388.

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Díaz, Antonio, Francisco Jareño, and Eliseo Navarro. "Term structure of volatilities and yield curve estimation methodology." Quantitative Finance 11, no. 4 (April 2011): 573–86. http://dx.doi.org/10.1080/14697680903473286.

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Campbell, John Y. "Some Lessons from the Yield Curve." Journal of Economic Perspectives 9, no. 3 (August 1, 1995): 129–52. http://dx.doi.org/10.1257/jep.9.3.129.

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This paper reviews the literature on the relation between short- and long-term interest rates. It summarizes the mixed evidence on the expectation hypothesis of the term structure: when long rates are high relative to short rates, short rates tend to rise as implied by the expectations hypothesis, but long rates tend to fall, which is contrary to the expectations hypothesis. The paper discusses the response of the U.S. bond market to shifts in monetary policy in the spring of 1994 and reviews the debate over the optimal maturity structure of the U.S. government debt.
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Şahin, Şule, Andrew J. G. Cairns, Torsten Kleinow, and A. David Wilkie. "A yield-only model for the term structure of interest rates." Annals of Actuarial Science 8, no. 1 (November 26, 2013): 99–130. http://dx.doi.org/10.1017/s1748499513000146.

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AbstractThis paper develops a term structure model for the UK nominal, real and implied inflation spot zero-coupon rates simultaneously. We start with fitting a descriptive yield curve model proposed by Cairns (1998) to fill the missing values for certain given days at certain maturities in the yield curve data provided by the Bank of England. We compare four different fixed ‘exponential rate’ parameter sets and decide the set of parameters which fits the data best. With the chosen set of parameters we fit the Cairns model to the daily values of the term structures. By applying principal component analysis on the hybrid data (Bank of England data and fitted spot rates for the missing values) we find three principal components, which can be described as ‘level’, ‘slope’ and ‘curvature’, for each of these series. We explore the relation between these principal components to construct a ‘yield-only’ model for actuarial applications. Main contribution of this paper is that the models developed in the paper enable the practitioners to forecast three term structures simultaneously and it also provides the forecast for whole term structures rather than just short and long end of the yield curves.
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Mineo, Eduardo, Airlane Pereira Alencar, Marcelo Moura, and Antonio Elias Fabris. "Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines." Journal of Risk and Financial Management 13, no. 4 (April 3, 2020): 65. http://dx.doi.org/10.3390/jrfm13040065.

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The Nelson–Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for sensible term structure shapes affecting forecast results. We propose DCOBS with no-arbitrage restrictions, a dynamic constrained smoothing B-splines yield curve model. Even though DCOBS may provide more volatile forward curves than parametric models, they are still more accurate than those from Nelson–Siegel frameworks. DCOBS has been evaluated for ten years of US Daily Treasury Yield Curve Rates, and it is consistent with stylized facts of yield curves. DCOBS has great predictability power, especially in short and middle-term forecast, and has shown greater stability and lower root mean square errors than an Arbitrage-Free Nelson–Siegel model.
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CONT, RAMA. "MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH." International Journal of Theoretical and Applied Finance 08, no. 03 (May 2005): 357–80. http://dx.doi.org/10.1142/s0219024905003049.

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Motivated by stylized statistical properties of interest rates, we propose a modeling approach in which the forward rate curve is described as a stochastic process in a space of curves. After decomposing the movements of the term structure into the variations of the short rate, the long rate and the deformation of the curve around its average shape, this deformation is described as the solution of a stochastic evolution equation in an infinite dimensional space of curves. In the case where deformations are local in maturity, this equation reduces to a stochastic PDE, of which we give the simplest example. We discuss the properties of the solutions and show that they capture in a parsimonious manner the essential features of yield curve dynamics: imperfect correlation between maturities, mean reversion of interest rates, the structure of principal components of forward rates and their variances. In particular we show that a flat, constant volatility structures already captures many of the observed properties. Finally, we discuss parameter estimation issues and show that the model parameters have a natural interpretation in terms of empirically observed quantities.
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Tarelli, Andrea. "No-arbitrage one-factor term structure models in zero- or negative-lower-bound environments." Investment Management and Financial Innovations 17, no. 1 (March 25, 2020): 197–212. http://dx.doi.org/10.21511/imfi.17(1).2020.18.

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One-factor no-arbitrage term structure models where the instantaneous interest rate follows either the process proposed by Vasicek (1977) or by Cox, Ingersoll, and Ross (1985), commonly known as CIR, are parsimonious and analytically tractable. Models based on the original CIR process have the important characteristic of allowing for a time-varying conditional interest rate volatility but are undefined in negative interest rate environments. A Shifted-CIR no-arbitrage term structure model, where the instantaneous interest rate is given by the sum of a constant lower bound and a non-negative CIR-like process, allows for negative yields and benefits from similar tractability of the original CIR model. Based on the U.S. and German yield curve data, the Vasicek and Shifted-CIR specifications, both considering constant and time-varying risk premia, are compared in terms of information criteria and forecasting ability. Information criteria prefer the Shifted-CIR specification to models based on the Vasicek process. It also provides similar or better in-sample and out-of-sample forecasting ability of future yield curve movements. Introducing a time variation of the interest rate risk premium in no-arbitrage one-factor term structure models is instead not recommended, as it provides worse information criteria and forecasting performance.
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Maldonado, Isabel, and Carlos Pinho. "Yield curve dynamics with macroeconomic factors in Iberian economies." Global Journal of Business, Economics and Management: Current Issues 10, no. 3 (November 26, 2020): 193–203. http://dx.doi.org/10.18844/gjbem.v10i3.4691.

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Abstract The aim of this paper is to analyse the bidirectional relation between the term structure of interest rates components and macroeconomic factors. Using a factor augmented vector autoregressive model, impulse response functions and forecasting error variance decompositions we find evidence of a bidirectional relation between yield curve factors and the macroeconomic factors, with increased relevance of yield factors over it with increased forecasting horizons. The study was conduct for the two Iberian countries using information of public debt interest rates of Spain and Portugal and macroeconomic factors extracted from a set of macroeconomic variables, including indicators of activity, prices and confidence. Results show that the inclusion of confidence and macroeconomic factors in the analysis of the relationship between macroeconomics and interest rate structure is extremely relevant. The results obtained allow us to conclude that there is a strong impact of changes in macroeconomic factors on the term structure of interest rates, as well as a significant impact factors of the term structure in the future evolution of macroeconomic factors.
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Da Costa Filho, Adonias Evaristo. "The natural yield curve in Brazil." Brazilian Review of Finance 17, no. 4 (December 26, 2019): 1. http://dx.doi.org/10.12660/rbfin.v17n4.2019.78914.

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<p>This paper estimates the term structure of natural interest rates for Brazil, a generalization of the concept of natural rate of interest for the yield curve. First, the Diebold-Li (2006) model is estimated with real yields. The latent factors of this model are then used in a model that includes an IS and a Phillips curve. The natural yield curve is obtained as the level, slope and curvature that closes the output gap at each point in time. This decomposition allows a broader indicator of the stance of monetary policy and a real-time measure of the natural rate. The difference between the slope of the real curve and its natural counterpart is highly correlated with the output gap.</p>
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Dissertations / Theses on the topic "Yield curve term structure"

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Sylvester, Matthew. "Calibrating Term Structure Models to an Initial Yield Curve." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/33027.

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The modelling of the short rate offers many advantages, with the models explored in this dissertation all offering closed-form, analytic formulae for bond prices and for options on bonds. Often, a vital primary condition is for a model to be calibrated to the initial term structure and to recover the bond prices observed in the market – that is, to be calibrated to the initial yield curve. Under the two exogenous models explored in this dissertation, the Hull-White and the CIR++, the effect of increasing the volatility parameter of the SDE increases the mean of the short rate. Increasing volatility of an SDE is a common approach to stress testing a model, as such, the consequences of bumping volatility in a calibrated model is a vital concern. The Hull-White model and CIR++ model were calibrated to market data, with the former being able to match the observed cap prices, while the latter failed, displaying an upper bound on cap prices. Investigating this, under CIR++ model, bond option prices are shown to not be straightforward increasing functions of the volatility parameter. In fact, for high volatility, bond option prices display an upper limit before decreasing, thus providing a limit to the level of cap prices too. This dissertation points to the reason residing in the underlying CIR model from which the CIR++ is based on, and the manner in which the model is extended
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Rodrigues, Velma de Jesus. "Fitting the term structure of yield spreads." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/8503.

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Mestrado em Finanças
O objetivo deste estudo é a extracção e análise da estrutura temporal da curva de Yield Spread no contexto das Obrigações de Tesouro emitidas por Portugal entre Janeiro 2004 e Junho de 2014, período no qual Portugal enfrentava uma crise de liquidez e de dívida. Para a extracção da curva de Yield Spread utilizamos o disjoint method. Este método requer uma curva teoricamente sem risco e uma curva com risco: como curva sem risco utilizamos a curva estimada pelo ECB e a curva com risco é estimada pelo modelo de Nelson-Siegel (1987). Dada a importância do papel da previsão no conhecimento da evolução da estrutura temporal, o objetivo secundário deste projeto é a previsão da curva das yields através da previsão dos parâmetros do modelo de Nelson-Siegel (1987) utilizando como o modelo de referência o processo passeio aleatório com deriva e como modelos competidores os AR(1) e VAR(1). Os resultados incluem a análise empírica da curva de yield spread das Obrigações de Tesouro de Portugal e, relativamente à previsão da curva das yields, concluímos que o AR(1) e VAR(1) produzem resultados ligeiramente melhores que o modelo de referência e que esses resultados melhoram à medida que o horizonte temporal da previsão aumenta.
This study aims to fit and analyze the behaviour of the Yield Spread curve in the context of Portugal Government Bonds, covering a period of January 2004 through June 2014, when Portugal faced a liquidity and debt crisis. In order to extract the Yield Spread curve, we use a disjoint method. This method requires as an input both a defaultable and non-defaultable term structure: we use the default-free curve estimated by the ECB and the defaultable term structure is estimated by the Nelson-Siegel model (1987). Due to the important role that forecasting plays in understanding how term structure evolves, the secondary objective of this work is to forecast the yield curve by predicting the parameters of Nelson-Siegel model (1987) using the Random Walk with drift as the benchmark model and the AR(1) and the VAR(1) model as competitors models. The results include the empirical analysis of Portuguese Government yield spread curve and, concerning the yield curve forecasting, we conclude that AR(1) and VAR(1) slightly outperformed the benchmark model and these models performance improves as the forecasting time horizon increases.
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Apabhai, Mohammed Z. "Term structure modelling and the valuation of yield curve derivative securities." Thesis, University of Oxford, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.308683.

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Pekerten, Uygar. "Yield Curve Modelling Via Two Parameter Processes." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/12605905/index.pdf.

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Random field models have provided a flexible environment in which the properties of the term structure of interest rates are captured almost as observed. In this study we provide an overview of the forward rate random fiield models and propose an extension in which the forward rates fluctuate along with a two parameter process represented by a random field. We then provide a mathematical expression of the yield curve under this model and sketch the prospective utilities and applications of this model for interest rate management.
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Ochoa, J. Marcelo. "What moves the yield curve? lessons from an affine term structure model for Chile." Tesis, Universidad de Chile, 2006. http://repositorio.uchile.cl/handle/2250/134902.

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Tesis para optar al grado de Magister en Economía
This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model. The dynamics of yields in the model are explained by two latent factors, the instantaneous short rate and its time-varying central tendency. The model estimates suggest that the short end of the yield curve is mainly driven by changes in first latent factor, while longterm interest rates are mainly explained by the second latent factor. Consequently, when thinking about movements in the term structure one should think of at least two forces that hit the economy; temporary shocks that change short-term and medium-term interest rates by much larger amounts than long-term interest rates, causing changes in the slope of the yield curve; and long-lived innovations which have persistent effects on the level of the yield curve.
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Henry, Olan Thomas John. "The rational expectations hypothesis of the term structure : an economic analysis of the U.S. treasury yield curve 1952-1991." Thesis, University of Reading, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.262456.

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Silva, Joana Andreia Costa da. "Calibration of term structure models : analysis of the impact of the 2007-2012 financial crisis." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10703.

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Mestrado em Matemática Financeira
O BCE (Banco Central Europeu) analisa diariamente, a estrutura temporal das taxas de juro (yield curve). Nessa análise é utilizado o modelo de Svensson (1994) para calibrar a yield curve para a zona euro, usualmente denominada default-free yield curve. Com base no histórico dos parâmetros do modelo de Svensson (1994) disponibilizado pelo BCE, as default-free yield curve são calibradas, em cada dia útil, no período de 6 de setembro de 2004 a 2 de março de 2015. É realizada uma análise de componentes principais (ACP) da default-free yield curve e uma análise de quebra de estrutura da evolução temporal dos parâmetros do modelo de Svensson (1994). As duas análises realizadas têm como objetivo perceber o impacto da crise na calibração da default-free yield curve. São calibradas as yield curves para a Alemanha e para os países periféricos da zona euro: PIIGS (Portugal, Irlanda, Itália, Grécia e Espanha), sendo também realizada uma ACP das yield curves de cada um destes países, em três períodos. Essa análise permite concluir que, na maior parte dos países em estudo, a significância das primeiras componentes principais altera-se com a crise financeira de 2007-2012, sugerindo que o modelo de Svensson (1994), usado pelo BCE, não é o mais adequado no período após essa crise. Após se obterem as yield curves para cada um dos países mencionados, são calibradas as estruturas temporais dos spreads de crédito de cada um desses países, no mesmo período. Além disso, é elaborada uma ACP dos spreads de crédito em três períodos.
ECB (European Central Bank) is daily analyzing the term structure of interest rates (yield curve). In this analysis the Svensson (1994) model is used to calibrate the yield curve for the euro zone, usually referred to as default-free yield curve. On the basis of the historical parameters data of the Svensson (1994) model available from ECB, the default-free yield curve are calibrated in the period from September 6, 2004 to March 2, 2015. Moreover it is performed a principal component analysis (PCA) of the default-free yield curve and an analysis of structural break with respect to the temporal evolution of the Svensson (1994) parameters. The two addressed analyses have as goal to understand the impact of the 2007-2012 financial crisis upon the calibration of the default-free yield curve. Yield curves for Germany and for peripheral countries of the euro zone: PIIGS (Portugal, Ireland, Italy, Greece and Spain) are calibrated. Moreover a PCA of the yield curve of each mentioned country is achieved in three periods. This analysis allows to conclude that the significance of the first principal components change throughout the 2007-2012 financial crisis. It means that the Svensson (1994) model, used by ECB, can not be the most suitable for the period after this crisis. With the yield curve for each mentioned country and using the default-free yield curve, the credit spread term structure for each of these countries is calibrated throughout the same period. Furthermore, a PCA of the credit spreads TS is performed in three periods.
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Krippner, Leo. "The Derivation and Application of a Theoretically and Economically Consistent Version of the Nelson and Siegel Class of Yield Curve Models." The University of Waikato, 2007. http://hdl.handle.net/10289/2645.

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A popular class of yield curve models is based on the Nelson and Siegel (1987) (hereafter NS) approach of fitting yield curve data with simple functions of maturity. However, NS models are not theoretically consistent and they also lack an economic foundation, which limits their wider application in finance and economics. This thesis derives an intertemporally-consistent and arbitrage-free version of the NS model, and provides an explicit macroeconomic foundation for that augmented NS (ANS) model. To illustrate the general applicability of the ANS model, it is then applied to four distinct topics spanning finance and economics, each of which are active areas of research in their own right: i.e (1) forecasting the yield curve; (2) investigating relationships between the yield curve and the macroeconomy; (3) fixed interest portfolio management; and (4) investigating the uncovered interest parity hypothesis (UIPH). In each application, the ANS model allows the formal derivation of a parsimonious theoretical framework that captures the essence of the topic under investigation and is readily applicable in practice. Respectively: (1) the intertemporal consistency embedded in the ANS model results in a vector-autoregressive equation that projects the future yield curve from the current yield curve, and forecasts from that model outperform the random-walk benchmark; (2) the economic foundation for the ANS model leads to a single-equation relationship between the current shape of the yield curve and the magnitude and timing of future output growth, and empirical estimations confirm that the theoretical relationship holds in practice; (3) the ANS model provides a theoretically-consistent framework for quantifying risk and returns in fixed interest portfolios, and portfolios optimised ex-ante using that framework outperform a passive benchmark; and (4) the ANS model allows interest rates to be decomposed into a component related to economic fundamentals in the underlying economy, and a component related to cyclical influences. Empirical tests based on the fundamental interest rate components do not reject the UIPH, while the UIPH is rejected based on the cyclical interest rate components. This provides empirical support for suggestions in the theoretical literature that interest rate and exchange rate dynamics associated with cyclical interlinkages between the economy and financial markets under rational expectations may contribute materially to the UIPH puzzle.
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Oz, Emrah. "Can Relative Yield Curves Predict Exchange Rate Movements? Example From Turkish Financial Market." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/12612505/index.pdf.

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Exchange rate forecasting is hard issue for most of floating exchange rate economies. Studying exchange rate is very attractive matter since almost no model could beat random walk in short run yet. Relative yields and information in relative yield curves are contemporary topics in empirical literature and this study follows Chen and Tsang (2009) who model exchange rate changes with relative factors obtained from Nelson-Siegel (1987) yield curve model and find that relative factor model can forecast exchange rate change up to 2 years and perform better than random walk in short run. Analysis follows the methodology defined by Chen and Tsang (2009) and TL/USD, TL/EUR exchange rate changes are modeled by the relative factors namely relative level, relative slope and relative curvature. Basically, 162 weekly datasets from 09.01.2007 to 16.03.2010 are used and the relative factors for each week are estimated. Afterwards, regression analysis is made and results show that relative level and relative curvature factors are significant up to 4-6 weeks horizon but relative slope does not provide any valuable information for exchange rate prediction in Turkish financial market. Length of forecasting horizon of relative factor model is too short when compared to other exchange rate models. Since it is accepted that exchange rates follow random walk, we provided some tests to compare performance of the model. Similar to the literature, only short run performance of relative factor model is compared to random walk model and concluded that the relative factor model does not provide better forecasting performance in Turkish financial market
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Ruas, Marcelo Castiel. "Estimação da estrutura a termo da taxa de juros com abordagem de dados funcionais." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2014. http://hdl.handle.net/10183/116642.

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Neste trabalho, estudam-se métodos que consideram a natureza funcional da Estrutura a Termo da Taxa de Juros (ETTJ) para fazer previsões fora da amostra. São estimados modelos não-paramétricos para dados funcionais (NP-FDA) e séries temporais funcionais (FTS). O primeiro se baseia em um estimador de regressão proposto por Ferraty e Vieu (2006), que utiliza funções Kernel para atribuir pesos localmente às variáveis funcionais. Já o segundo se baseia no trabalho de Hays, Shen e Huang (2012), que estimam a ETTJ através de um modelo de fatores dinâmicos, que por sua vez são estimados através de análise de componentes principais funcional. Testa-se a capacidade de previsão dos modelos com a ETTJ americana, para os horizontes de 1, 3, 6 e 12 meses, e comparam-se os resultados com modelos benchmark, como Diebold e Li (2006) e o passeio aleatório. Principal foco deste trabalho, as estimações com métodos NP-FDA não tiveram resultado muito bons, obtendo sucesso apenas com maturidades e horizontes muito curtos. Já as estimações com FTS tiveram, no geral, desempenho melhor que os métodos escolhidos como benchmark.
This work studies methods that takes the Yield Curve's functional nature into account to produce out-of-sample forecasts. These methods are based in nonparametric functional data analysis (NP-FDA) and functional time series (FTS). The former are based in a functional regressor estimator proposed by Ferraty e Vieu (2006) that includes Kernel functions to do local weighting between the functional variables. The latter are based on the paper by Hays, Shen and Huang (2012), that forecasts the Yield Curve based in a dynamic factors model, in which the factors are determined by functional principal component analysis. Their forecasting capability is tested for the american's Yield Curve database for 1, 3, 6 and 12 months. The results from the functional methods models are then compared to benchmarks widely used in the literature, such as the random walk and the Diebold and Li (2006). Main focus on this work, the NP-FDA methods didn't produce very good forecasts, being successful only for very low maturities and short forecast horizons. The forecasts generated by the FTS methods were, in general, better than our chosen benchmarks.
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Books on the topic "Yield curve term structure"

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Ang, Andrew. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Cambridge, MA: National Bureau of Economic Research, 2001.

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Dai, Qiang. Expectation puzzles, time-varying risk premia, and dynamic models of the term structure. Cambridge, MA: National Bureau of Economic Research, 2001.

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O'Beirne, Mary M. The term structure of Irish and U.K. yield curves 1979 to 1988. Dublin: University College Dublin, 1988.

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Back, Kerry E. Term Structure Models. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0018.

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Bond yields and forward rates are defined. The fundamental PDE is derived. Affine term strucure models are explained, including the Vasicek model and the Cox‐Ingersoll‐Ross square root model. Gaussian affine models, completely affine models, and multifactor CIR models are explained. Quadratic models are described. The various versions of the expectations hypothesis are explained. We can fit a given yield curve by adding a deterministic function of time to an interest rate model or allowing model parameters to be time varying. Heath‐Jarrow‐Morton models are explained, and it is shown that drifts of forward rates under the risk neutral probability are determined by their volatilities.
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The Market Yield Curve and Fitting the Term Structure of Interest Rates. New York: McGraw-Hill, 2010.

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), Pericli Andreas (Ed, ed. Yield Curves and the Term Structure on Interest Rates. Barmarick Pubns., 1998.

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Book chapters on the topic "Yield curve term structure"

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Medvedev, Gennady A. "Polynomial Models of Yield Term Structure." In Yield Curves and Forward Curves for Diffusion Models of Short Rates, 201–27. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-15500-1_11.

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Medvedev, Gennady A. "The Term Structure of Interest Rates." In Yield Curves and Forward Curves for Diffusion Models of Short Rates, 19–26. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-15500-1_2.

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Modena, Matteo. "A Macroeconomic Analysis of the Latent Factors of the Yield Curve: Curvature and Real Activity." In Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models, 121–46. London: Palgrave Macmillan UK, 2011. http://dx.doi.org/10.1057/9780230295209_7.

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Hubig, Anja. "Joint modeling of yield curve shape and dynamics: An empirical validation of term structure simulations for long-term government debt management." In Introduction of a New Conceptual Framework for Government Debt Management, 153–93. Wiesbaden: Springer Fachmedien Wiesbaden, 2013. http://dx.doi.org/10.1007/978-3-658-00918-2_6.

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Cassola, Nuno, and Jorge Barros Luís. "Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve." In Applied Quantitative Methods for Trading and Investment, 71–128. Chichester, UK: John Wiley & Sons, Ltd, 2005. http://dx.doi.org/10.1002/0470013265.ch3.

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Dempster, M. A. H., Elena A. Medova, Igor Osmolovskiy, and Philipp Ustinov. "A Practical Robust Long-Term Yield Curve Model." In High-Performance Computing in Finance, 273–314. Boca Raton, FL : CRC Press, 2018.: Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9781315372006-9.

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Medvedev, Gennady. "Nonaffine Models of Yield Term Structure." In Information Technologies and Mathematical Modelling. Queueing Theory and Applications, 16–26. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-97595-5_2.

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Langdana, Farrokh K. "Long-Term Interest Rates, the Yield Curve and Hyperinflation." In Macroeconomic Policy, 109–30. Boston, MA: Springer US, 2002. http://dx.doi.org/10.1007/978-1-4757-3646-5_6.

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Langdana, Farrokh K. "Long-Term Interest Rates, the Yield Curve, and Hyperinflation." In Macroeconomic Policy, 107–30. Boston, MA: Springer US, 2009. http://dx.doi.org/10.1007/978-0-387-77666-8_6.

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Langdana, Farrokh K. "Long-Term Interest Rates, the Yield Curve, and Hyperinflation." In Springer Texts in Business and Economics, 125–49. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-32854-6_6.

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Conference papers on the topic "Yield curve term structure"

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Lee, Jin Ho, Ji Hoon Kim, and Myung Hyun Kim. "Validation of the Master Curve Approach With Various Welding Conditions: Groove Shapes, Heat Inputs and Welding Processes." In ASME 2020 39th International Conference on Ocean, Offshore and Arctic Engineering. American Society of Mechanical Engineers, 2020. http://dx.doi.org/10.1115/omae2020-18653.

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Abstract Engineering critical assessment (ECA) is a procedure for evaluating the soundness of structures with flaws and has been widely applied for assessing the structural integrity. ECA procedure requires reliable fracture toughness data to assess the effect of defects. Ideal data are typically obtained from samples taken during construction of an engineering structure or from the structure afterward, but there are cases in which removal of the test samples is impossible due to the continued operation of the structure. To this end, Appendix J of the BS 7910 provides a procedure for estimating fracture toughness values from appropriate Charpy impact test data. However, the correlation between Charpy impact energy and fracture toughness is known to be overly conservative with not sufficient theoretical background in fracture mechanics perspective. In this regard, the revised BS 7910:2019 provides an improved method for calculating the reference temperature by applying the yield strength and the Charpy upper shelf energy based on empirical data. The target of this study is to validate the master curve approach in the modified BS 7910 for two common offshore grade steels with explicit considerations for various groove shapes, heat inputs and welding processes. For the purpose, the master curves are compared in terms of the reference temperature calculated from Charpy impact test according to BS 7910:2013 and the newly revised 2019 version of BS 7910. The modified master curve resulted in less conservative fracture toughness values anticipated from the decreased reference temperature. The estimated fracture toughness values exhibited a good correlation with experimentally obtained toughness values. The influence of various groove shapes, heat inputs and welding processes in estimating fracture toughness based on the master curve approach is discussed. In addition, the effect of impact test sample locations within weld metals toward estimated fracture toughness values is evaluated.
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Marriott, Douglas L. "Isochronous Stress/Strain Curves: Origins, Scope and Applications." In ASME 2011 Pressure Vessels and Piping Conference. ASMEDC, 2011. http://dx.doi.org/10.1115/pvp2011-57130.

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The isochronous stress/strain curve is a long established method of representing creep data in a manner which, under certain circumstances, provides a quick and often surprisingly accurate approximate solution to time dependent structural problems. Despite criticisms of the foundations of the method, it has survived over the years because it has either been the only method feasible at the time, or it is capable of providing solutions which are often good enough for practical purposes. This paper plans to trace the evolution of structural analysis based on isochronous curves, examining its boundaries of application and the circumstances under which it might be expected to yield plausible answers. Different types of isochronous curves will be described, together with procedures for constructing them from different forms of material data such as constant strain rate tensile tests. Special attention will be given to the representation of tertiary creep in the form of isochronous curves, and how such curves might be used in carrying out simplified analyses of propagating creep damage in complex components. Recent extensions to the original methodology to include variable load and thermal histories will be examined. Possible applications in the emerging field of very high temperature applications, as are expected to be experienced in Gen IV nuclear plant in the future, will be reviewed, with special attention given to the problem of rate dependent short term properties, which looks to become a serious question in development of design allowables for very high temperature applications.
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Suimon, Yoshiyuki, Hiroki Sakaji, Takashi Shimada, Kiyoshi Izumi, and Hiroyasu Matsushima. "Japanese long-term interest rate forecast considering the connection between the Japanese and US yield curve." In 2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 2019. http://dx.doi.org/10.1109/cifer.2019.8759107.

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Ernst, Hugo A., Jose´ A. Villasante, and Alfonso Izquierdo. "Effect of the Yield to Tensile Ratio, Y/T, on Structural Reliability of Linepipes." In ASME 2003 22nd International Conference on Offshore Mechanics and Arctic Engineering. ASMEDC, 2003. http://dx.doi.org/10.1115/omae2003-37187.

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The effect of the Yield (Y) to Tensile (T) ratio, Y/T, on the structural reliability of linepipes with longitudinal defects was studied in this work. A model based on elastic-plastic fracture mechanics (EPFM) and plasticity theory, was developed for that purpose. The analysis allows for load or deformation control situations. The results are shown in terms of curves of critical defect size vs. the controlling variable, i.e. load or deformation. For each one of the several materials studied, different cases with different Y/T values were considered. Even for the lower limits of experimental data, i.e. larger Y/T, the materials have adequate defect tolerance.
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Mateus, Anto´nio F., and Joel A. Witz. "Steel Plate Serviceability in Marine Structures." In ASME 2002 21st International Conference on Offshore Mechanics and Arctic Engineering. ASMEDC, 2002. http://dx.doi.org/10.1115/omae2002-28362.

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Plates are structural components that are able to provide support beyond compressive collapse, i.e. in the post-buckling regime. To date the criterion used to define plate failure under compressive loading is the plate maximum load carrying capacity which is identified as the peak of the associated load versus plate end-shortening curve. Recent advances in structural analysis techniques, such as nonlinear finite element analysis, have enabled the reduction of uncertainty that is embedded into the behaviour and strength prediction of new and in-service structures. Consequently, a new criterion for ultimate plate compressive strength is suggested and justified. This criterion is based on the unloaded edge resultant stress reaching yield. It is considered to be a suitable threshold of serviceability based on the relation between drop of strength versus the gain in plate end-shortening. In practical terms this means that a plate will be able to work in an extended range of end-shortenings.
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Ernst, Hugo A., Richard E. Bravo, Jose´ A. Villasante, and Alfonso Izquierdo. "Effect of the Yield to Tensile Ratio, Y/T, on Structural Reliability of Linepipes Subject to Bend Loading." In ASME 2004 23rd International Conference on Offshore Mechanics and Arctic Engineering. ASMEDC, 2004. http://dx.doi.org/10.1115/omae2004-51126.

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A model based on elastic-plastic fracture mechanics (EPFM) and plasticity theory, was developed to study the effect of the Yield (Y) to Tensile (T) ratio, Y/T, on the structural reliability of linepipes with part through the thickness (PTT) circumferential defects subject to bend loading. The analysis allows for load or deformation control situations. The results are shown in terms of curves of critical defect size vs. the controlling variable, i.e. load or deformation. For each one of the materials studied, different cases with different Y/T values were considered. Even for the lower limits of experimental data, i.e. larger Y/T, the materials have adequate defect tolerance. A Leak Before Break Analysis was also conducted.
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Gupta, Karan K., Christopher L. Hoffmann, Andrew M. Hamilton, and Frank DeLose. "Fracture Toughness of Pressure Boundary Steels With Higher Yield Strength." In ASME 2010 Pressure Vessels and Piping Division/K-PVP Conference. ASMEDC, 2010. http://dx.doi.org/10.1115/pvp2010-25214.

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ASME Section III Appendix G provides a fracture mechanics methodology for evaluating the fracture resistance of pressure vessel materials based on comparing the applied stress intensity from service induced loadings on the assumed flaw to a material fracture toughness (KIR) curve. The applicable fracture toughness curve described in Appendix G is defined as a lower bound curve for static, dynamic, and crack arrest fracture toughness tests for a database that includes a number of pressure vessel materials having specified minimum yield strengths of 50 ksi or less. For materials which have specified minimum room temperature yield strength greater than 50.0 ksi but not exceeding 90.0 ksi, the same fracture toughness curve may be used provided fracture mechanics data points are obtained on at least three heats of the material on a sufficient number of specimens to cover the temperature range of interest, including the weld metal and heat affected zone, and provided that the data points are equal to or above that of the fracture toughness curve of Appendix G of the ASME Code (Fig. G-2210-1). At present, the pressure boundary components of steam generators and pressurizers typically use SA-508 Grade 3 Class 2 forgings and SA-533 Type B Class 2 plate material with minimum yield strength of 65 ksi and 70 ksi respectively. The fracture toughness for these materials is not readily available. This technical paper is compilation of fracture toughness of forging and plate material, weld metal, and heat affected zone of such higher strength forgings and plate materials. The paper includes toughness data of weld metal and heat affected zone resulting from high heat input process and includes the toughness test data with long term postweld heat treatment. All dynamic fracture toughness values for the ASME forgings with a minimum yield strength of 65 ksi and plate material with a minimum yield strength of 70 ksi, heat affected zone, and weld metals exceed the ASME specified minimum KIR given in Article G-2000 of the ASME Boiler and Pressure Vessel Code. This data concludes that the ASME specified minimum reference KIR curve can be used conservatively for the forging and plate materials with minimum yield strength of 65 ksi and 70 ksi that are currently specified for construction of steam generators and other Section III, Class 1 components.
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Kimura, Kazuhiro. "Creep Rupture Strength Evaluation With Region Splitting by Half Yield." In ASME 2013 Pressure Vessels and Piping Conference. American Society of Mechanical Engineers, 2013. http://dx.doi.org/10.1115/pvp2013-97819.

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Creep strength of ferritic and austenitic steels has been investigated on the correlation between stress vs. creep rupture life curve and 50% of 0.2% offset yield stress (half yield) at the temperatures. Inflection of stress vs. creep rupture life curve was recognized on ferritic creep resistant steels with martensitic or bainitic microstructure. However, no identifiable correlation was observed on ferritic steels with ferrite and pearlite microstructure, as well as austenitic steels and superalloys except for several alloys. Ferritic steel with martensitic or bainitic microstructure indicates softening during creep exposure, however, hardening due to precipitation takes place in the ferritic steel with ferrite and pearlite microstructure and austenitic steels. This difference in microstructural evolution is associated with indication of inflection at half yield. Stress range of half yield in the stress vs. creep life diagram of creep strength enhanced ferritic steels is wider than that of conventional ferritic creep resistant steels with martensitic or bainitic microstructure. As a result of wide stress range of boundary condition, risk of overestimation of long-term creep rupture strength by extrapolating the data in high-stress regime to low-stress regime is considered to be high for creep strength enhanced ferritic steels.
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Dong, Pingsha, Xianjun Pei, and Shizhu Xing. "A Structural Strain Method for Fatigue Evaluation of Welded Components." In ASME 2014 33rd International Conference on Ocean, Offshore and Arctic Engineering. American Society of Mechanical Engineers, 2014. http://dx.doi.org/10.1115/omae2014-24546.

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In this paper, a new structural strain method is presented to extend the early structural stress based master S-N curve method to low cycle fatigue regime in which plastic deformation can be significant while an elastic core is still present. The method is formulated by taking advantage of elastically calculated mesh-insensitive structural stresses based on nodal forces available from finite element solutions. The structural strain definition is consistent with classical plate and shell theory in which a linear through-thickness deformation field is assumed a priori in both elastic and elastic-plastic regimes. With considerations of both yield and equilibrium conditions, the resulting structural strains are analytically solved if assuming elastic and perfectly plastic material behavior. The formulation can be readily extended to strain-hardening materials for which structural strains can be numerically calculated with ease. The method is shown effective in correlating low-cycle fatigue test data of various sources documented in the literature into a single narrow scatter band which is remarkable consistent with the scatter band of the existing master S-N curve adopted ASME B&PV Code since 2007. With this new method, some of the inconsistencies of the pseudo-elastic structural stress procedure in 2007 ASME Div 2 Code can now be eliminated, such as its use of Neuber’s rule in approximating structural strain beyond yield. More importantly, both low cycle and high cycle fatigue behaviors can now be treated in a unified manner. The earlier mesh-insensitive structural stress based master S-N curve method can now be viewed as an application of the structural strain method in high cycle regime, in which structural strains are linearly related to traction-based structural stresses according to Hook’s law. In low-cycle regime, the structural strain method characterizes fatigue damage directly in terms of structural strains that satisfy linear through-thickness deformation gradient assumption, material nonlinear behavior, and equilibrium conditions. The use of a pseudo-elastic structural stress definition is not fundamental, but merely a means to put low-cycle and high-cycle fatigue test data in a conventional stress-based S-N data representation which is typically preferred in engineering practice, than a strain-based representation.
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Kimura, Kazuhiro, Kota Sawada, Kiyoshi Kubo, and Hideaki Kushima. "Influence of Stress on Degradation and Life Prediction of High Strength Ferritic Steels." In ASME/JSME 2004 Pressure Vessels and Piping Conference. ASMEDC, 2004. http://dx.doi.org/10.1115/pvp2004-2566.

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Influence of stress on creep deformation and degradation behavior has been investigated. Corresponding to inflection of stress vs. time to rupture curve, difference in recovery phenomena, that was homogeneous in short-term and inhomogeneous in long-term, was observed. Inflection of stress vs. time to rupture curve took place at the stress condition corresponding to half of 0.2% offset yield stress at the temperature. Elastic limit stress of Grade 91 steel was evaluated to be 150MPa at 600°C and 100MPa at 650°C, by means of stress abrupt change test. These stresses were found to be almost the same as half of 0.2% offset yield stress at the temperatures. Inflection of stress vs. time to rupture curve is caused by transient of applied stress from higher level than elastic limit to within elastic range. It has been concluded that long-term creep strength of ferritic creep resistant steels should be predicted from the selected creep rupture data under the stresses lower than elastic limit by considering half of 0.2% offset yield stress at the temperature, by means of Larson-Miller parameter with a constant of 20.
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Reports on the topic "Yield curve term structure"

1

Guibaud, Stéphane, Yves Nosbusch, and Dimitri Vayanos. Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt. Cambridge, MA: National Bureau of Economic Research, March 2013. http://dx.doi.org/10.3386/w18922.

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