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The role of no-arbitrage on forecasting: Lessons from a parametric term structure model
Caio Almeida
, José Vicente
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Article
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peer-review
27
Scopus citations
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Dive into the research topics of 'The role of no-arbitrage on forecasting: Lessons from a parametric term structure model'. Together they form a unique fingerprint.
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Keyphrases
Term Structure Models
100%
No-arbitrage
100%
Arbitrage-free
50%
Superior Performance
25%
Monetary Policy
25%
Hedging
25%
Root Mean Square Error
25%
Fixed Income Markets
25%
Yield Data
25%
Interest Rates
25%
Stylized Facts
25%
Forward Rate
25%
Managing Risk
25%
Forecast Horizon
25%
Arbitrage
25%
Premia
25%
Dynamic Term Structure Model
25%
Economic Structure
25%
U.S. Treasury Yields
25%
Bond Risk Premium
25%
Parametric Polynomial
25%
Polynomial Model
25%
Economics, Econometrics and Finance
Yield Curve
100%
Arbitrage
100%
Pricing
16%
Monetary Policy
16%
Risk Premium
16%
Hedging
16%
Fixed Income Market
16%