Functional dynamic factor models with application to yield curve forecasting

DOI10.1214/12-AOAS551zbMath1454.62302arXiv1209.6172OpenAlexW2029865151MaRDI QIDQ714342

Jianhua Z. Huang, Haipeng Shen, Spencer Hays

Publication date: 21 October 2012

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.6172

zbMATH Keywords

cross-validationexpectation maximization algorithmfunctional data analysisnatural cubic splinesroughness penalty

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Functional data analysis (62R10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (19)

Nonparametric estimation of functional dynamic factor model ⋮ Modeling and forecasting electricity spot prices: a functional data perspective ⋮ KPSS test for functional time series ⋮ Functional principal component analysis for partially observed elliptical process ⋮ Inference in functional factor models with applications to yield curves ⋮ Tempered functional time series ⋮ Factor models for high‐dimensional functional time series I: Representation results ⋮ Locally stationary functional time series ⋮ Segmental dynamic factor analysis for time series of curves ⋮ Dependent functional data ⋮ Long-Range Dependent Curve Time Series ⋮ Functional lagged regression with sparse noisy observations ⋮ Testing for periodicity in functional time series ⋮ Functional dynamic factor models with application to yield curve forecasting ⋮ Estimation of a nonparametric model for bond prices from cross-section and time series information ⋮ Testing stationarity of functional time series ⋮ Intraday forecasts of a volatility index: functional time series methods with dynamic updating ⋮ Dynamic regression models for time-ordered functional data ⋮ Modeling Nelson–Siegel Yield Curve Using Bayesian Approach

Uses Software

• forecast
• fda (R)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Forecasting the term structure of government bond yields
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Functional dynamic factor models with application to yield curve forecasting
• A dynamic factor model for the analysis of multivariate time series
• Applied functional data analysis. Methods and case studies
• Nonlinear time series. Nonparametric and parametric methods
• Forecasting with nonstationary dynamic factor models
• Functional data analysis.
• Forecasting functional time series
• Autoregressive Forecasting of Some Functional Climatic Variations
• A Theory of the Term Structure of Interest Rates
• Identifying a Simplifying Structure in Time Series
• Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
• The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve

This page was built for publication: Functional dynamic factor models with application to yield curve forecasting