Abstract

VELASQUEZ-GIRALDO, Mateo  and  RESTREPO-TOBON, Diego. Affine Term Structure Models: Forecasting the Yield Curve for Colombia. Lect. Econ. [online]. 2016, n.85, pp.53-90. ISSN 0120-2596.  https://doi.org/10.17533/udea.le.n85a02.

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.

Keywords : term structure; forecasting; interest rates; multifactor models.

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