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- W2275314063 abstract "In this paper we estimate the term structure of daily UK interest rates using more flexible continuous time models. The multivariate CKLS framework is employed for dynamic estimation and forecasting of four classical models over the eventful period of 2000-2013. The extensions are applied in two stages to four and five factor formulations, allowing us to assess the potential benefit of gradually increasing the model-flexibility. The Gaussian estimation methods for dynamic continuous time models yield insightful comparative results concerning the two different segments of the yield curve, short-term and long-term, respectively. In terms of in-sample performance the multi-factor general CKLS model is superior to all the other restricted models. When compared to benchmark discrete time models, the out-of-sample performance of the extended continuous time models seem to be consistently superior with regards only to the short-term segment of the yield curve." @default.
- W2275314063 created "2016-06-24" @default.
- W2275314063 creator A5024121038 @default.
- W2275314063 date "2015-01-01" @default.
- W2275314063 modified "2023-09-27" @default.
- W2275314063 title "Gaussian Estimation and Forecasting of the UK Yield Curve with Multi-Factor Continuous Time Models" @default.
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- W2275314063 doi "https://doi.org/10.2139/ssrn.2737818" @default.
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