Forecasting of yield curves using local state space reconstruction

DOI10.1007/978-3-642-11456-4_16MaRDI QIDQ2908430zbMATH OpenOpenAlexFDO

Authors Eurico Covas, F. C. Mena

Publication date 5 September 2012

Published in Dynamics, Games and Science I (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-11456-4_16

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

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Cites work

• Embedology
• Forecasting the term structure of government bond yields
• scientific article; zbMATH DE number 3866239 (Why is no real title available?)
• scientific article; zbMATH DE number 3810550 (Why is no real title available?)
• scientific article; zbMATH DE number 1042219 (Why is no real title available?)
• scientific article; zbMATH DE number 1145169 (Why is no real title available?)
• Independent coordinates for strange attractors from mutual information.
• Interest rate models -- theory and practice. With smile, inflation and credit
• The dynamics of economic functions: modeling and forecasting the yield curve

Cited in

(2)

• Wavelet neural network model for yield spread forecasting
• Robust forecasting of multiple yield curves

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