Forecasting bond yields with segmented term structure models

Keyphrases

• Term Structure Models 100%
• Bond Yields 100%
• Segmentation Model 100%
• Short Maturity 50%
• Out-of-sample Forecasting 50%
• Idiosyncratic Shocks 50%
• U.S. Treasury 50%
• Interest Rate Models 50%
• Latent Factors 50%
• Cointegration 50%
• Preferred Habitat 50%

Economics, Econometrics and Finance

• Yield Curve 100%