Functional dynamic factor models with application to yield curve forecasting
نویسندگان
چکیده
منابع مشابه
Functional Dynamic Factor Models with Application to Yield Curve Forecasting
Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount to bond portfolio management and derivative security pricing. Yet a universal model for yield curve forecasting has been elusive, and prior attempts often resulted in a trade-off between goodness of fit and consistency with economic theory. To address this, herein we propose a novel formulation which conn...
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PATRICK BARDSLEY†, LAJOS HORVÁTH‡, PIOTR KOKOSZKA§ AND GABRIEL YOUNG‖ †Institute for Computational Engineering and Sciences, University of Texas, Austin TX, USA. E-mail: [email protected] ‡Department of Mathematics, University of Utah, Salt Lake City UT, USA. E-mail: [email protected] §Department of Statistics, Colorado State University, Fort Collins CO, USA. E-mail: Piotr.Kokoszka@c...
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ژورنال
عنوان ژورنال: The Annals of Applied Statistics
سال: 2012
ISSN: 1932-6157
DOI: 10.1214/12-aoas551