Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach (Q295690): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62P20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62M20 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6592941 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
yield curve | |||
| Property / zbMATH Keywords: yield curve / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
factor-augmented VAR | |||
| Property / zbMATH Keywords: factor-augmented VAR / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
affine term structure models | |||
| Property / zbMATH Keywords: affine term structure models / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
dynamic factor models | |||
| Property / zbMATH Keywords: dynamic factor models / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
forecasting | |||
| Property / zbMATH Keywords: forecasting / rank | |||
Normal rank | |||
Revision as of 20:47, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach |
scientific article |
Statements
Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach (English)
0 references
13 June 2016
0 references
yield curve
0 references
factor-augmented VAR
0 references
affine term structure models
0 references
dynamic factor models
0 references
forecasting
0 references
