Forecasting of Yield Curves Using Local State Space Reconstruction

DOI10.1007/978-3-642-11456-4_16zbMath1246.91153OpenAlexW1491671155MaRDI QIDQ2908430

Eurico O. Covas, Filipe C. Mena

Publication date: 5 September 2012

Published in: Dynamics, Games and Science I (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-11456-4_16

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Dynamical systems in optimization and economics (37N40)

Cites Work

• Forecasting the term structure of government bond yields
• Interest rate models -- theory and practice. With smile, inflation and credit
• Embedology
• Independent coordinates for strange attractors from mutual information
• The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve
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