Yield curve modeling and forecasting using semiparametric factor dynamics
Year of publication: |
August-September 2016
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Authors: | Härdle, Wolfgang ; Majer, Piotr |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 22.2016, 10/12, p. 1109-1129
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Subject: | yield curve | term structure of interests rates | semiparametric model | factor structure | prediction | European sovereign debt crisis | Zinsstruktur | Yield curve | Spanien | Spain | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Theorie | Theory | Griechenland | Greece | Italien | Italy | Portugal | Prognoseverfahren | Forecasting model | EU-Staaten | EU countries |
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