English, Article, Journal or magazine article edition: Comparing Models for Forecasting the Yield Curve Marco S. Matsumura; Ajax R. B. Moreira

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Bookmark: http://trove.nla.gov.au/version/2322
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Comparing Models for Forecasting the Yield Curve
Author
  • Marco S. Matsumura
  • Ajax R. B. Moreira
Physical Description
  • preprint
Notes
  • The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages and disadvantages, and it is an empirical matter to evaluate the performance of the approaches. This exercise compares 4 alternative models for the term structure using 3 different markets: the Brazilian domestic and sovereign market and the US market.
  • RePEc:ipe:ipetds:1245
Language
  • English
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