Fiche du document
1 juillet 2016
- handle: 10670/1.woi2qe
Ce document est lié à :
10.17533/udea.le.n85a02
info:eu-repo/semantics/openAccess
Sujets proches
Prediction Forecasts Futurology YieldCiter ce document
Mateo Velásquez-Giraldo et al., « Affine Term Structure Models: Forecasting the Yield Curve for Colombia », Lecturas de Economía, ID : 10670/1.woi2qe
Métriques
Partage / Export
Résumé
Superior modeling of the yield curve is useful for asset pricing, financial planning, and risk management. In this article, we estimate five affine term structure models using daily data for Colombia. We find that a three-factor model outperforms the other models in one and five day ahead forecasts. The model factors closely mimic empirical proxies for the level, the slope, and the curvature of the yield curve in Colombia.