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Factor analysis of predictive curves, with applications to the term structure of interest rates

Bowden, Roger J.; Lim, Guay C.; Martin, Vance - 1994

Persistent link: https://www.econbiz.de/10000881564

Adaptive forecasting of the EURIBOR swap term structure

Blaskowitz, Oliver (contributor); … - 2008

In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the term structure and employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing in favor of structural variation, we propose data...

Persistent link: https://www.econbiz.de/10003636128

Adaptive forecasting of the EURIBOR swap term structure

Blaskowitz, Oliver; Herwartz, Helmut - In: Journal of forecasting 28 (2009) 7, pp. 575-594

Persistent link: https://www.econbiz.de/10003902215

Forecasting financial time series using model averaging

Ravazzolo, Francesco - 2007

Persistent link: https://www.econbiz.de/10003580042

Forecasting the yield curve with linear factor models

Matsumura, Marco Shinobu; Moreira, Ajax; Vicente, José … - In: International review of financial analysis 20 (2011) 5, pp. 237-243

Persistent link: https://www.econbiz.de/10009492131

Marktbasierte Zinsprognosen mit Regime-Switching-Modellen

Ahrens, Ralf - 2000

Markterwartungen, die sich in Zinssätzen und in der Zinsstruktur widerspiegeln, unter Anwendung ökonometrischer Verfahren extrahiert … denen Zinssätze und Zinsstruktur als sogenannte Regime-Switching-Prozesse modelliert werden. -- Im ersten Hauptteil der …