#2549. No-arbitrage priors, drifting volatilities, and the term structure of interest rates

November 2026publication date
Proposal available till 30-05-2025
5 total number of authors per manuscript4030 $

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Journal’s subject area:
Social Sciences (miscellaneous);
Economics and Econometrics;
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Abstract:
The article uses Bayesian vector autoregression with stochastic volatility to predict government bond yields. The model improves the accuracy of point and density predictions based on unchanged random walk and an affine time structure model with stochastic volatility.
Keywords:
density forecasting; no arbitrage; term structure; volatility

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