Forecasting the Yield Curve of Government Bonds: A Comparative Study

For the past 20 years, researchers have applied the Kalman filter to the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a unified dynamic model based on Diebold and Li (2006) and Nelson and Siegel’s (1987) three-factor model, and estimate this dynamic model using the Kalman filter. We compare both in-sample and out-of-sample performance of our dynamic methods with various other models in the literature. We find that our dynamic model dominates existing models in medium- and long-horizon yield curve predictions. However, the dynamic model should be used with caution when forecasting short maturity yields

Explorations of Intramolecular [5+2] Cycloadditions of Ring-Constrained Vinylcyclopropanes

The first example of a [5+2] cycloaddition reaction wherein the olefin of the vinylcyclopropyl moiety is constrained in a carbocycle was explored, and possible reasons on the lack of reactivity of the substrate were studied. A simple model substrate was synthesized and subjected to cycloaddition conditions to determine if the reason for the lack of reactivity was related to the complexity of the substrate, or if the lack of “conjugative character” of the cyclopropyl ring with respect to the olefin is responsible. A more complex bicyclic substrate possessing an angular methyl group at the ring junction was also synthesized and explored, with evidence supporting the current theory of deconjugation of the cyclopropyl moiety.