International yield curve prediction with common functional principal component analysis

• Main Authors: ZHANG, Jiejie, CHEN, Ying, KLOTZ, Stefan, LIM, Kian Guan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Yield curve forecasting; Common factors; Econometrics; Finance
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5342
• Institution: Singapore Management University

We propose an international yield curve predictive model, where common factors are identified using the common functional principal component (CFPC) method that enables a comparison of the variation patterns across different economies with heterogeneous covariances. The dynamics of the international...