TEXTO PARA DISCUSSÃO N ° 1245 a COMPARING MODELS FOR FORECASTING THE YIELD CURVE

@inproceedings{Matsumura2006TEXTOPD,
  title={TEXTO PARA DISCUSS{\~A}O N ° 1245 a COMPARING MODELS FOR FORECASTING THE YIELD CURVE},
  author={Marco S. Matsumura and Ajax R. B. Moreira},
  year={2006}
}
The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages and disadvantages, and it is an empirical matter to evaluate… CONTINUE READING

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