description- – This paper compares six term structure estimation methods in terms of actual ex ante price and yield prediction accuracy. Specifically, we examine the models' ability to price Treasuries for one to five trading days ahead. The models' performance differs markedly between in- and out-of-sample predictions. Their relative success also depends on time, the forecast horizon, and whether price or yield errors are compared. We examine the degree of loss in accuracy the modeler incurs by not using the best method: in particular, we compare the more complex splining methods and the parsimonious Nelson-Siegel model.
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