PCA-BASED EX-ANTE FORECASTING OF SWAP TERM STRUCTURES

DOI10.1142/S021902490900535XzbMath1178.91219MaRDI QIDQ5193005

Oliver Jim Blaskowitz, Helmut Herwartz

Publication date: 10 August 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

term structureadaptive ex-ante forecastingEURIBOR swap rates

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Unnamed Item
• Forecasting the term structure of government bond yields
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Forecasting Using Principal Components From a Large Number of Predictors

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