No-arbitrage term structure models impose cross-sectional restrictions among yields and
can be used to impose dynamic restrictions on risk compensation. This paper evaluates the …

This paper studies whether dynamic term structure models for US nominal bond yields
should enforce the zero lower bound by a quadratic policy rate or a shadow rate …

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 …

Parametric term structure models have been successfully applied to numerous problems in
fixed income markets, including pricing, hedging, managing risk, as well as to the study of …

Does imposing no-arbitrage help when using the term structure to forecast future bond
yields or macroeconomic activity? Standard intuition says that if we know the restrictions are …

We present an econometric procedure for calibrating no-arbitrage term structure models in a
way that is time-consistent and robust to measurement errors. Typical no-arbitrage 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 …

This chapter discusses what the asset-pricing literature concludes about the forecastability
of interest rates. It outlines forecasting methodologies implied by this literature, including …

This paper addresses the issue of forecasting term structure. We provide a unified state‐
space modeling framework that encompasses different existing discrete‐time yield curve …

We develop a general framework for analyzing the usefulness of imposing parameter
restrictions on a forecasting model. We propose a measure of the usefulness of the …