Forecasting the yield curve using a dynamic natural cubic spline model

DOI10.1016/J.ECONLET.2018.04.009zbMATH Open1401.62208OpenAlexW2802228497WikidataQ125928553 ScholiaQ125928553MaRDI QIDQ1787612FDOQ1787612

Authors: Pan Feng, Junhui Qian 

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.04.009

Recommendations

• The dynamics of economic functions: modeling and forecasting the yield curve
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zbMATH Keywords

forecastingChinese yield curvedynamic natural cubic spline model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Forecasting the term structure of government bond yields
• The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve
• Forecasting the yield curve for the euro region

Cited In (2)

• Functional dynamic factor models with application to yield curve forecasting
• Forecasting of yield curves using local state space reconstruction

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