International yield curve prediction with common functional principal component analysis

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...

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Main Authors: ZHANG, Jiejie, CHEN, Ying, KLOTZ, Stefan, LIM, Kian Guan
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Language:English
Published: Institutional Knowledge at Singapore Management University 2017
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5342
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spelling sg-smu-ink.lkcsb_research-63412017-11-09T04:00:10Z International yield curve prediction with common functional principal component analysis ZHANG, Jiejie CHEN, Ying KLOTZ, Stefan LIM, Kian Guan 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 yield curves are further forecasted based on the data-driven common factors in an autoregression framework. For the 1-day ahead out-of-sample forecasts of the US, Sterling, Euro and Japanese yield curve from 07 April 2014 to 06 April 2015, the CFPC factor model is compared with an alternative factor model based on the functional principal component analysis. 2017-02-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/5342 info:doi/10.1007/978-3-319-50742-2_17 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Yield curve forecasting Common factors Econometrics Finance
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Yield curve forecasting
Common factors
Econometrics
Finance
spellingShingle Yield curve forecasting
Common factors
Econometrics
Finance
ZHANG, Jiejie
CHEN, Ying
KLOTZ, Stefan
LIM, Kian Guan
International yield curve prediction with common functional principal component analysis
description 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 yield curves are further forecasted based on the data-driven common factors in an autoregression framework. For the 1-day ahead out-of-sample forecasts of the US, Sterling, Euro and Japanese yield curve from 07 April 2014 to 06 April 2015, the CFPC factor model is compared with an alternative factor model based on the functional principal component analysis.
format text
author ZHANG, Jiejie
CHEN, Ying
KLOTZ, Stefan
LIM, Kian Guan
author_facet ZHANG, Jiejie
CHEN, Ying
KLOTZ, Stefan
LIM, Kian Guan
author_sort ZHANG, Jiejie
title International yield curve prediction with common functional principal component analysis
title_short International yield curve prediction with common functional principal component analysis
title_full International yield curve prediction with common functional principal component analysis
title_fullStr International yield curve prediction with common functional principal component analysis
title_full_unstemmed International yield curve prediction with common functional principal component analysis
title_sort international yield curve prediction with common functional principal component analysis
publisher Institutional Knowledge at Singapore Management University
publishDate 2017
url https://ink.library.smu.edu.sg/lkcsb_research/5342
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