Browsing by Subject "Capital (Economia) - Rendimento"

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    • Forecasting bond yields with segmented term structure models 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Glasman, Daniela Kubudi; Simonsen, Axel André; Vicente, José
      2018-02
      Inspired by the preferred habitat theory, we propose parametric interest rate models that split the term structure into segments. The proposed models are compared with successful term structure benchmarks based on out-of-sample ...