Forecasting the US term structure of interest rates using nonparametric functional data analysis

DOI10.1002/FOR.2414MaRDI QIDQ4596027zbMATH OpenOpenAlexFDO

Authors João F. Caldeira

Publication date 8 December 2017

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2414

zbMATH Keywords

factor modelsyield curvenonparametric functional data analysisinterest rate forecasting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
• Estimation of a nonparametric model for bond prices from cross-section and time series information

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