Author: Agathe Sadeghi

Advisor: Dr. Dragos Bozdog

Date: December 18, 2020

Department: Financial Engineering

Degree: Master of Science - Financial Engineering


Advisory Committee:

Dr. Dragos Bozdog, Advisor

Dr. Ionut Florescu, Reader

Abstract: Investing in bonds is becoming more popular among investors due to the increasing uncertainty of the financial world. This research investigates the out-of-sample predictability of corporate bond yield using BVAL curve values for the period April 2011 to June 2020 for three tickers of JPM, GS and IBM. Multiple models using statistical and machine learning approaches are developed and the best models are selected based on the performance measures. The random forest model has a better performance when taking forward rates as the explanatory variable. In contrast, the autoregressive integrated moving average models demonstrate a higher performance measure values when the independent variable is considered as forward-spot spreads.

Keywords: Corporate bond, Yield predictability, Financial time series, Regression, Machine Learning, Forward rates, Forward spreads

For full Dissertation, click here.