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| Author: | Dunis, C.L. Morrison, V. |
| Title: | The economic value of advanced time series methods for modelling and trading 10-year government bonds |
| Journal: | European Journal of Finance
2007 : APR/JUN, VOL. 13:3-4, p. 333-352 |
| Index terms: | bond markets government bonds evaluation trading efficiency forecasting models United Kingdom USA |
| Language: | eng |
| Abstract: | This paper aims to determine the potential economic value of advanced modelling methods for devising trading decision tools for 10-year Government bonds. There are used two advanced methods: (i). time-varying parameter models with the implementation of state space modelling using a Kalman filter and (ii). non-parametric non-linear models with Neural Network Regression (NNR). The models were developed based on data from the U.K. Gilt market (here as: m.), U.S. T-Bond m. and German Bund m. It is concluded that for the time series studied and for the period under investigation, the performance of the advanced models is mixed etc. |
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