scholarly journals Applying Heath-Jarrow-Morton Model to Forecasting the US Treasury Daily Yield Curve Rates

Mathematics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 114
Author(s):  
Valerii Maltsev ◽  
Michael Pokojovy
Keyword(s):  
Predictive Power ◽  
Yield Curve ◽  
Real Data ◽  
Stochastic Evolution ◽  
Infinite Dimensions ◽  
No Arbitrage ◽  
Hjm Model ◽  
Concise Review ◽  
The Us ◽  
Modeling And Forecasting

The Heath-Jarrow-Morton (HJM) model is a powerful instrument for describing the stochastic evolution of interest rate curves under no-arbitrage assumption. An important feature of the HJM approach is the fact that the drifts can be expressed as functions of respective volatilities and the underlying correlation structure. Aimed at researchers and practitioners, the purpose of this article is to present a self-contained, but concise review of the abstract HJM framework founded upon the theory of interest and stochastic partial differential equations in infinite dimensions. To illustrate the predictive power of this theory, we apply it to modeling and forecasting the US Treasury daily yield curve rates. We fit a non-parametric model to real data available from the US Department of the Treasury and illustrate its statistical performance in forecasting future yield curve rates.

scholarly journals Modeling and Forecasting of COVID-19 Spreading by Delayed Stochastic Differential Equations

Axioms ◽  
2021 ◽  
Vol 10 (1) ◽  
pp. 18
Author(s):  
Marouane Mahrouf ◽  
Adnane Boukhouima ◽  
Houssine Zine ◽  
El Mehdi Lotfi ◽  
Delfim F. M. Torres ◽  
...  
Keyword(s):  
Real Data ◽  
Economic Damage ◽  
Population Parameter ◽  
The Novel ◽  
First Case ◽  
Epidemiological Trend ◽  
Modeling And Forecasting ◽  
Novel Coronavirus ◽  
Parameter Values ◽  
Stochastic Time

The novel coronavirus disease (COVID-19) pneumonia has posed a great threat to the world recent months by causing many deaths and enormous economic damage worldwide. The first case of COVID-19 in Morocco was reported on 2 March 2020, and the number of reported cases has increased day by day. In this work, we extend the well-known SIR compartmental model to deterministic and stochastic time-delayed models in order to predict the epidemiological trend of COVID-19 in Morocco and to assess the potential role of multiple preventive measures and strategies imposed by Moroccan authorities. The main features of the work include the well-posedness of the models and conditions under which the COVID-19 may become extinct or persist in the population. Parameter values have been estimated from real data and numerical simulations are presented for forecasting the COVID-19 spreading as well as verification of theoretical results.

Understanding the Real Rate Conundrum: An Application of No-Arbitrage Models to the UK Real Yield Curve*

2011 ◽  
Vol 16 (3) ◽  
pp. 837-866 ◽  
Author(s):  
Michael A. S. Joyce ◽  
Iryna Kaminska ◽  
Peter Lildholdt
Keyword(s):  
Yield Curve ◽  
Real Rate ◽  
No Arbitrage ◽  
The Real ◽  
The Uk

scholarly journals Yield curve modeling and forecasting using semiparametric factor dynamics

2014 ◽  
Vol 22 (12) ◽  
pp. 1109-1129 ◽  
Author(s):  
Wolfgang K. Härdle ◽  
Piotr Majer
Keyword(s):  
Yield Curve ◽  
Modeling And Forecasting ◽  
Curve Modeling

scholarly journals Toward a Country-Based Prediction Model of COVID-19 Infections and Deaths Between Disease Apex and End: Evidence From Countries With Contained Numbers of COVID-19

2021 ◽  
Vol 8 ◽  
Author(s):  
Tianshu Gu ◽  
Lishi Wang ◽  
Ning Xie ◽  
Xia Meng ◽  
Zhijun Li ◽  
...  
Keyword(s):  
Real Data ◽  
Control Measures ◽  
Actual Number ◽  
The Public ◽  
The Us ◽  
Multiple Regression Models ◽  
Before And After ◽  
Using Data ◽  
High Degree ◽  
The Relationship

The complexity of COVID-19 and variations in control measures and containment efforts in different countries have caused difficulties in the prediction and modeling of the COVID-19 pandemic. We attempted to predict the scale of the latter half of the pandemic based on real data using the ratio between the early and latter halves from countries where the pandemic is largely over. We collected daily pandemic data from China, South Korea, and Switzerland and subtracted the ratio of pandemic days before and after the disease apex day of COVID-19. We obtained the ratio of pandemic data and created multiple regression models for the relationship between before and after the apex day. We then tested our models using data from the first wave of the disease from 14 countries in Europe and the US. We then tested the models using data from these countries from the entire pandemic up to March 30, 2021. Results indicate that the actual number of cases from these countries during the first wave mostly fall in the predicted ranges of liniar regression, excepting Spain and Russia. Similarly, the actual deaths in these countries mostly fall into the range of predicted data. Using the accumulated data up to the day of apex and total accumulated data up to March 30, 2021, the data of case numbers in these countries are falling into the range of predicted data, except for data from Brazil. The actual number of deaths in all the countries are at or below the predicted data. In conclusion, a linear regression model built with real data from countries or regions from early pandemics can predict pandemic scales of the countries where the pandemics occur late. Such a prediction with a high degree of accuracy provides valuable information for governments and the public.

How to Hedge Against Inflation Risk in Vietnam

2021 ◽  
Author(s):  
T. Thanh-Binh Nguyen
Keyword(s):  
Predictive Power ◽  
Gold Price ◽  
Price Stability ◽  
Leading Indicators ◽  
Inflation Risk ◽  
Monthly Data ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
Us Dollar

Abstract Vietnam has experienced galloping inflation and faced serious dollarization since its reform. To effectively control its inflation for promoting price stability, it is necessary to find efficacious leading indicators and the hedging mechanism. Using monthly data over the period from January 1997 to June 2020, this study finds the predictive power and hedge effectiveness of both gold and the US dollar on inflation in the long-run and short-run within the asymmetric framework. Especially, the response of inflation to the shocks of gold price and the US dollar are quick and decisive, disclosing the sensitiveness of inflation to these two variables.

Simulation Analysis as a Way to Assess the Performance of Important Unit Root and Change in Persistence Tests

2013 ◽  
pp. 378-396
Author(s):  
Raúl O. Fernández ◽  
J. Eduardo Vera-Valdés
Keyword(s):  
Monte Carlo ◽  
Unit Root ◽  
Simulation Analysis ◽  
House Price ◽  
Real Data ◽  
Financial Data ◽  
Extreme Caution ◽  
Expected Performance ◽  
The Us ◽  
Extreme Care

This chapter shows a way to, using simulation analysis, assess the performance of some of the most popular unit root and change in persistence tests. The authors do this by means of Monte Carlo simulations. The findings suggest that these tests show a lower than expected performance when dealing with some of the processes commonly believed to be found in the economic and financial data. The output signals that extreme care should be taken when trying to support a theory using real data. As the results show, a blind practitioner could get misleading implications almost surely. As an empirical exercise, the authors show that the considered test finds evidence of a unit root process in the US house price index. Nonetheless, as the simulation analysis shows, extreme caution should be taken when analyzing these results.

Yield Curves, Swap Curves, and Term Structure of Interest Rates

2019 ◽  
pp. 203-228
Author(s):  
Tom P. Davis ◽  
Dmitri Mossessian
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Yield Curves ◽  
No Arbitrage ◽  
Interest Rate Swap ◽  
The Interest Rate ◽  
Rate Swap ◽  
The U.S

This chapter discusses multiple definitions of the yield curve and provides a conceptual understanding on the construction of yield curves for several markets. It reviews several definitions of the yield curve and examines the basic principles of the arbitrage-free pricing as they apply to yield curve construction. The chapter also reviews cases in which the no-arbitrage assumption is dropped from the yield curve, and then moves to specifics of the arbitrage-free curve construction for bond and swap markets. The concepts of equilibrium and market curves are introduced. The details of construction of both types of the curve are illustrated with examples from the U.S. Treasury market and the U.S. interest rate swap market. The chapter concludes by examining the major changes to the swap curve construction process caused by the financial crisis of 2007–2008 that made a profound impact on the interest rate swap markets.

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