Forecasting the US Term Structure of Interest Rates Using Nonparametric Functional Data Analysis

DOI10.1002/for.2414zbMath1376.62056OpenAlexW2312404542MaRDI QIDQ4596027

Unnamed Author, João F. Caldeira

Publication date: 8 December 2017

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2414

zbMATH Keywords

factor modelsyield curvenonparametric functional data analysisinterest rate forecasting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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