... (1) series. In order to assess the efficacy of the estimated model, we compare the yield prediction from our model with several natural competitors : random walk, Fama-Bliss, and Cochrane-Piazzesi. With respect to out-of-sample performance, Fama-Bliss model proves to be the worst in term structure...

... and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode KTB futures Term structure CKLS...

...Kook-Hyun Chang; Seung Gyeom Lee In this paper, we try to extend the work of Kim and Chang (2000) and to estimate exponential-affine term structure models for Korean monetary stabilization bond (MSB) using trading data as an alternative of traditional curve-fitting methodology. We estimate both one...

...Jin U Park; Youngsoo Choi This paper shows the limitation of the cost-of-carry model which is used for pricing the theoretical value of the KTB futures, and proposes an alternative pricing model based on the term structure of interest rates. Under the assumption of 1-factor term structure...