Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Standard

Term Structure Analysis with Big Data : One-Step Estimation Using Bond Prices. / Andreasen, Martin M.; Christensen, Jens H.E.; Rudebusch, Glenn D.

In: Journal of Econometrics, Vol. 212, No. 1, 09.2019, p. 26-46.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Andreasen, MM, Christensen, JHE & Rudebusch, GD 2019, 'Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices', Journal of Econometrics, vol. 212, no. 1, pp. 26-46. https://doi.org/10.1016/j.jeconom.2019.04.019

APA

Andreasen, M. M., Christensen, J. H. E., & Rudebusch, G. D. (2019). Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices. Journal of Econometrics, 212(1), 26-46. https://doi.org/10.1016/j.jeconom.2019.04.019

CBE

MLA

Andreasen, Martin M., Jens H.E. Christensen and Glenn D. Rudebusch. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices". Journal of Econometrics. 2019, 212(1). 26-46. https://doi.org/10.1016/j.jeconom.2019.04.019

Vancouver

Author

Andreasen, Martin M. ; Christensen, Jens H.E. ; Rudebusch, Glenn D. / Term Structure Analysis with Big Data : One-Step Estimation Using Bond Prices. In: Journal of Econometrics. 2019 ; Vol. 212, No. 1. pp. 26-46.

Bibtex

@article{75b70c1b6c864f14836b5c2995aa4087,
title = "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices",
abstract = "Nearly all studies that analyze the term structure of interest rates take a two-step approach. First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and second, some of these yields are used as the source data for further empirical examination. In contrast, we consider the advantages of a one-step approach that directly analyzes the universe of bond prices. To illustrate the feasibility and desirability of the one-step approach, we compare arbitrage-free dynamic term structure models estimated using both approaches. We also provide a simulation study showing that a one-step approach can extract the information in large panels of bond prices and avoid any arbitrary noise introduced from a first-stage interpolation of yields.",
keywords = "Arbitrage-free Nelson–Siegel model, Extended Kalman filter, Fixed-coupon bond prices",
author = "Andreasen, {Martin M.} and Christensen, {Jens H.E.} and Rudebusch, {Glenn D.}",
year = "2019",
month = "9",
doi = "10.1016/j.jeconom.2019.04.019",
language = "English",
volume = "212",
pages = "26--46",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - Term Structure Analysis with Big Data

T2 - One-Step Estimation Using Bond Prices

AU - Andreasen, Martin M.

AU - Christensen, Jens H.E.

AU - Rudebusch, Glenn D.

PY - 2019/9

Y1 - 2019/9

N2 - Nearly all studies that analyze the term structure of interest rates take a two-step approach. First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and second, some of these yields are used as the source data for further empirical examination. In contrast, we consider the advantages of a one-step approach that directly analyzes the universe of bond prices. To illustrate the feasibility and desirability of the one-step approach, we compare arbitrage-free dynamic term structure models estimated using both approaches. We also provide a simulation study showing that a one-step approach can extract the information in large panels of bond prices and avoid any arbitrary noise introduced from a first-stage interpolation of yields.

AB - Nearly all studies that analyze the term structure of interest rates take a two-step approach. First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and second, some of these yields are used as the source data for further empirical examination. In contrast, we consider the advantages of a one-step approach that directly analyzes the universe of bond prices. To illustrate the feasibility and desirability of the one-step approach, we compare arbitrage-free dynamic term structure models estimated using both approaches. We also provide a simulation study showing that a one-step approach can extract the information in large panels of bond prices and avoid any arbitrary noise introduced from a first-stage interpolation of yields.

KW - Arbitrage-free Nelson–Siegel model

KW - Extended Kalman filter

KW - Fixed-coupon bond prices

UR - http://www.scopus.com/inward/record.url?scp=85065035954&partnerID=8YFLogxK

U2 - 10.1016/j.jeconom.2019.04.019

DO - 10.1016/j.jeconom.2019.04.019

M3 - Journal article

VL - 212

SP - 26

EP - 46

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -