Affine Term Structure Models: Forecasting the Yield Curve for Colombia

Publicado en

  • Lecturas de Economía


  • 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.

fecha de publicación

  • 2016

Líneas de investigación

  • Estructura a plazos
  • Modelos multifactoriales
  • Pronósticos
  • Tasas de interés

Página inicial

  • 53

Última página

  • 90


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