Prediction of Individual Bond Prices via the TDM Model

Takeaki Kariya and Hiroshi Tsuda
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Takeaki Kariya: Hitotsubashi University, Institute of Economic Research
Hiroshi Tsuda: The NLI Research Institute, 1-1-1 Yuraku-cho

A chapter in Modelling and Prediction Honoring Seymour Geisser, 1996, pp 350-356 from Springer

Abstract: Abstract In Kariya and Tsuda (1994), the TDM (Time Dependent Markov) bond pricing model is shown to be of great in-sample performance. In fact, the standard errors of the model are almost all less than 0.5 yen among 120 models where the face value of a bond is 100 yen. In this paper, the TDM model is applied to the prediction of monthly individual bond prices and it is shown that the predictive power of the model is rather good for two recent years.

Keywords: Cash Flow; Predictive Performance; Term Structure; Bond Price; Discount Function (search for similar items in EconPapers)
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-2414-3_22

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DOI: 10.1007/978-1-4612-2414-3_22

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