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I have the goal of being able to develop a model that can forecast the future prices of european government bond (or other private bonds), particularly from the historical prices and returns of the bonds. However I do not know really how to start. In fact I have just graduated in quantitative finance course, but I never deepened so the thing to be able to develop a model. Someone has advices to know how to start? Maybe simply pointing some papers dealing with the subject. I would use something to not only theoretical, but that explains step by step how to build the model. I conclude by saying that I know well enough R and C language, so I might even consider a model based on monte carlo simulation for example.

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This is a very broad question and a large number of issues have been discussed in the literature. As such, it's hard to give specific advice except that it is better to model returns instead of prices directly. What I would do if I were you:

  1. Read some of the available literature to get a good overview. This is an interesting paper but many more exist.
  2. Theorize on what influences bond returns
  3. Gather data
  4. Build/Improve an econometric model
  5. Test this model
  6. Go back to step 1, 2, 3 or 4.
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