Forecasting the term structure of Philippine interest rates using the dynamic Nelson-Siegel model
Elvira P. De Lara-tuprio, Ramil T. Bataller, Allen Dominique D. Torres, Emmanuel A. Cabral and Proceso L. Fernandez Jr.
Year of publication: |
2017
|
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Authors: | Lara-Tuprio, Elvira P. de ; Bataller, Ramil T. ; Torres, Allen Dominique D. ; Cabral, Emmanuel A. ; Fernandez, Proceso L. Jr. |
Published in: |
DLSU business & economics review. - Manila : Univ., ISSN 0116-7111, ZDB-ID 2500625-3. - Vol. 27.2017/2018, 1, p. 190-200
|
Subject: | Yield curve | Nelson-Siegel | forecasting | copula | time series | Zinsstruktur | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | Philippinen | Philippines | Dynamische Wirtschaftstheorie | Economic dynamics | Prognose | Forecast |
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