The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve

DOI10.1198/016214508000000922zbMath1286.62113OpenAlexW3125422806MaRDI QIDQ5414016

Roland Meeks, Clive G. Bowsher

Publication date: 2 May 2014

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214508000000922

zbMATH Keywords

term structurefunctional time seriesstate-space formnatural cubic splineforecasting interest rateFSN-ECM models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

Related Items (6)

Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization ⋮ Forecasting of Yield Curves Using Local State Space Reconstruction ⋮ Forecasting the yield curve for the euro region ⋮ Locally stationary functional time series ⋮ Functional dynamic factor models with application to yield curve forecasting ⋮ Forecasting the yield curve using a dynamic natural cubic spline model

Uses Software

• SsfPack

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