3 papers
Dynamic Term Structure Models with Nonlinearities using Gaussian Processes
Tomasz Dubiel-Teleszynski, Konstantinos Kalogeropoulos, Nikolaos Karouzakis
The importance of unspanned macroeconomic variables for Dynamic Term Structure Models has been intensively discussed in the literature. To our best knowledge the earlier studies co…
Dynamic Inference in Term Structure Models with Unspanned Latent Risks
Tomasz Dubiel-Teleszynski, Konstantinos Kalogeropoulos, Nikolaos Karouzakis
We propose a parsimonious class of arbitrage-free, yields-only dynamic term structure models (DTSMs) with unspanned latent risks. To enable sequential estimation and forecasting, w…
Sequential Learning and Economic Benefits from Dynamic Term Structure Models
Tomasz Dubiel-Teleszynski, Konstantinos Kalogeropoulos, Nikolaos Karouzakis
We explore the statistical and economic importance of restrictions on the dynamics of risk compensation from the perspective of a real-time Bayesian learner who predicts bond exces…