Estimate and forecasting of the Italian yield curve with multivariate GARCH models

MaRDI QIDQ3568964zbMATH OpenFDO

Authors Lucia Maggi, Eduardo Rossi, Carlo Giannini

Publication date 16 June 2010

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Estimating VAR models for the term structure of interest rates
• Forecasting the term structure of government bond yields
• scientific article; zbMATH DE number 1208135
• Estimating the Cox, ingersoll and Ross model of the term structure: a multivariate approach
• A dynamic model of expected bond returns: A functional gradient descent approach

Cited in

(3)

• A dynamic model of expected bond returns: A functional gradient descent approach
• Principal component regression in GAMLSS applied to Greek–German government bond yield spreads
• scientific article; zbMATH DE number 5252499 (Why is no real title available?)

This page was built for publication: Estimate and forecasting of the Italian yield curve with multivariate GARCH models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3568964)