Conditional maximum Sharpe ratios implied by fully flexible four-factor and five-factor
Gaussian term structure models are astronomically high. Estimation of term structure models …

There are a large number of reduced-form, multifactor term structure models available in the
literature. However, the basic question of which model does the best job at explaining the …

Standard approaches to building and estimating dynamic term structure models rely on the
assumption that yields can serve as the factors. However, the assumption is neither …

Publisher Summary This chapter describes the methods of modeling the term structure that
are to be found in the econometrics and finance literatures. By utilizing a factor …

We study time variation in expected excess bond returns. We run regressions of one-year
excess returns on initial forward rates. We find that a single factor, a single tent-shaped …

When Japanese short-term bond yields were near their zero bound, yields on long-term
bonds showed substantial fluctuation, and there was a strong positive relationship between …

This article theoretically explores the characteristics underpinning quadratic term structure
models (QTSMs), which designate the yield on a bond as a quadratic function of underlying …

Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury Bonds, with the R 2's being around 30%. The projection coefficients …

This paper explores the sources of variation in expected excess returns on bonds within a
Gaussian dynamic term structure model that:(i) conditions on information about output …

We study the finite-sample properties of some of the standard techniques used to estimate
modern term structure models. For sample sizes and models similar to those used in most …