Scale model reproduction of tension faults

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ID: 300038
1954
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Abstract
This article examines the forecasting performance of continuous-time multi-factor models, in comparison with other parsimonious models, for the term structure of interbank rates in the UK, Europe, and Japan. The article employs two general dynamic frameworks with different factor structures: the generalized Chan-Karolyi-Longstaff-Sanders family of models and the arbitrage-free dynamic Nelson-Siegel family of models. Applying a battery of accuracy measures and a range of formal tests of forecasting superiority, this research provides evidence that extended multi-factor models demonstrate good out-of-sample forecasting performance for the short segment of the yield curve. However, for the euro and in part for the yen, random walk forecasts consistently pass various tests, indicating a higher level of market efficiency compared to the pound sterling interbank market. Key Findings ▪ For the term structure of interbank rates in the UK, Europe, and Japan, more complex continuous-time models that include more factors are superior in terms of predictive power to models with less factors or discrete-time models. ▪ Based on a battery of accuracy tests and a range of formal tests, extended multi-factor models demonstrate good out-of-sample forecasting performance for the short segment of the yield curve. ▪ For the euro and in part for the yen, random walk forecasts consistently pass various tests, indicating a higher level of market efficiency compared to the pound sterling interbank market.
Reference Key
openalex_W2321757720 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors G. W. Bain, J. H. Beebe
Journal american journal of science
Year 1954
DOI
10.2475/ajs.252.12.745
URL
https://ajsonline.org/article/58489.pdf
Keywords Keywords not found

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