International Conditional Asset Allocation under Real Time Uncertrainty
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Robert R. Bliss, 1997. "Movements in the term structure of interest rates," Economic Review, Federal Reserve Bank of Atlanta, vol. 82(Q 4), pages 16-33.
- Lekkos, Ilias, 2001. "Factor models and the correlation structure of interest rates: Some evidence for USD, GBP, DEM and JPY," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1427-1445, August.
- Goldstein, Robert S, 2000. "The Term Structure of Interest Rates as a Random Field," The Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 365-384.
- Diebold, Francis X. & Li, Canlin, 2006.
"Forecasting the term structure of government bond yields,"
Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
- Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
- Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
- Santa-Clara, Pedro & Sornette, Didier, 2001.
"The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks,"
The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 149-185.
- P. Santa-Clara & D. Sornette, 1998. "The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks," Papers cond-mat/9801321, arXiv.org.
- Farshid Jamshidian & Yu Zhu, 1996. "Scenario Simulation: Theory and methodology (*)," Finance and Stochastics, Springer, vol. 1(1), pages 43-67.
- Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
- Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990.
"Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills,"
Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
- Robert F. Engle & Victor Ng & Michael Rothschild, 1988. "Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills," NBER Technical Working Papers 0065, National Bureau of Economic Research, Inc.
- Christophe Villa & C. Pérignon, 2002.
"Component Proponents,"
Post-Print
halshs-00069515, HAL.
- Christophe Villa & C. Pérignon, 2004. "Component Proponents II," Post-Print halshs-00069017, HAL.
- Hirotugu Akaike, 1987. "Factor analysis and AIC," Psychometrika, Springer;The Psychometric Society, vol. 52(3), pages 317-332, September.
- Kevin Paul Scherer & Marco Avellaneda, 2002. "All For One … One For All? A Principal Component Analysis Of Latin American Brady Bond Debt From 1994 To 2000," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 79-106.
- Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, vol. 77(4), pages 680-692, September.
- Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
- Knez, Peter J & Litterman, Robert & Scheinkman, Jose Alexandre, 1994. "Explorations into Factors Explaining Money Market Returns," Journal of Finance, American Finance Association, vol. 49(5), pages 1861-1882, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Christophe PÉRIGNON & Christophe VILLA, 2002. "Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates," FAME Research Paper Series rp53, International Center for Financial Asset Management and Engineering.
- Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
- Emrah Ahi & Vedat Akgiray & Emrah Sener, 2018. "Robust term structure estimation in developed and emerging markets," Annals of Operations Research, Springer, vol. 260(1), pages 23-49, January.
- Roncoroni, Andrea & Galluccio, Stefano & Guiotto, Paolo, 2010.
"Shape factors and cross-sectional risk,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2320-2340, November.
- Andrea Roncoroni & Stefano Galluccio & Paolo Guiotto, 2010. "Shape factors and cross-sectional risk," Post-Print hal-00736733, HAL.
- Pierre Collin‐Dufresne & Robert S. Goldstein, 2002. "Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility," Journal of Finance, American Finance Association, vol. 57(4), pages 1685-1730, August.
- Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society.
- Andr? Kurmann & Christopher Otrok, 2013.
"News Shocks and the Slope of the Term Structure of Interest Rates,"
American Economic Review, American Economic Association, vol. 103(6), pages 2612-2632, October.
- André Kurmann & Christopher Otrok, 2010. "News Shocks and the Slope of the Term Structure of Interest Rates," Cahiers de recherche 1005, CIRPEE.
- Andre Kurmann & Christopher Otrok, 2012. "News shocks and the slope of the term structure of interest rates," Working Papers 2012-011, Federal Reserve Bank of St. Louis.
- Christopher Otrok & Andre Kurmann, 2010. "News Shocks and the Slope of the Term Structure of Interest Rates," 2010 Meeting Papers 72, Society for Economic Dynamics.
- Hautsch, Nikolaus & Yang, Fuyu, 2012.
"Bayesian inference in a Stochastic Volatility Nelson–Siegel model,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3774-3792.
- Hautsch, Nikolaus & Yang, Fuyu, 2010. "Bayesian inference in a stochastic volatility Nelson-Siegel Model," SFB 649 Discussion Papers 2010-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ang, Andrew & Piazzesi, Monika & Wei, Min, 2006.
"What does the yield curve tell us about GDP growth?,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 359-403.
- Andrew Ang & Monika Piazzesi & Min Wei, 2003. "What does the yield curve tell us about GDP growth?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Andrew Ang & Monika Piazzesi & Min Wei, 2004. "What Does the Yield Curve Tell us about GDP Growth?," NBER Working Papers 10672, National Bureau of Economic Research, Inc.
- Gourieroux, C. & Monfort, A. & Sufana, R., 2010.
"International money and stock market contingent claims,"
Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
- Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers 2005-41, Center for Research in Economics and Statistics.
- Hautsch, Nikolaus & Ou, Yangguoyi, 2008. "Yield curve factors, term structure volatility, and bond risk premia," SFB 649 Discussion Papers 2008-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0000. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 09-041/4, Tinbergen Institute, revised 17 Sep 2010.
- Diebold, Francis X. & Li, Canlin, 2006.
"Forecasting the term structure of government bond yields,"
Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
- Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
- Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
- repec:hum:wpaper:sfb649dp2005-024 is not listed on IDEAS
- Hautsch, Nikolaus & Ou, Yangguoyi, 2012.
"Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields,"
Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2988-3007.
- Hautsch, Nikolaus & Ou, Yangguoyi, 2009. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," CFS Working Paper Series 2009/03, Center for Financial Studies (CFS).
- repec:hum:wpaper:sfb649dp2008-017 is not listed on IDEAS
- Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2016. "The stochastic string model as a unifying theory of the term structure of interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 217-237.
- Fabio Trojani, 2007.
"Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent,"
Journal of Financial Econometrics, Oxford University Press, vol. 5(4), pages 591-623, Fall.
- Francesco Audrino & Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," University of St. Gallen Department of Economics working paper series 2007 2007-24, Department of Economics, University of St. Gallen.
- S. Boragan Aruoba & Francis X. Diebold & Glenn D. Rudebusch, 2003.
"The macroeconomy and the yield curve: a nonstructural analysis,"
Working Paper Series
2003-18, Federal Reserve Bank of San Francisco.
- Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2003. "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," PIER Working Paper Archive 03-024, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold, & Rudebusch, Glenn D. & Aruoba, S. Boragan, 2003. "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," CFS Working Paper Series 2003/31, Center for Financial Studies (CFS).
- Francis X. Diebold & Lei Ji & Canlin Li, 2006.
"A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration,"
Chapters, in: Lawrence R. Klein (ed.), Long-run Growth and Short-run Stabilization, chapter 9,
Edward Elgar Publishing.
- Francis X. Diebold & Lei Ji & Canlin Li, 2006. "A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration," PIER Working Paper Archive 06-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Shin, Minchul & Zhong, Molin, 2017.
"Does realized volatility help bond yield density prediction?,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 373-389.
- Minchul Shin & Molin Zhong, 2013. "Does realized volatility help bond yield density prediction?," PIER Working Paper Archive 13-064, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Minchul Shin & Molin Zhong, 2015. "Does Realized Volatility Help Bond Yield Density Prediction?," Finance and Economics Discussion Series 2015-115, Board of Governors of the Federal Reserve System (U.S.).
- Raviv, Eran, 2015. "Prediction bias correction for dynamic term structure models," Economics Letters, Elsevier, vol. 129(C), pages 112-115.
More about this item
Keywords
Conditional asset allocation; predictability; real time uncertainty; performance measurement;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2005-09-29 (Finance)
- NEP-FMK-2005-09-29 (Financial Markets)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fam:rpseri:rp153. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ridima Mittal (email available below). General contact details of provider: https://edirc.repec.org/data/fameech.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.