International yield curve prediction with common functional principal component analysis

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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書目詳細資料
Main Authors:	ZHANG, Jiejie, CHEN, Ying, KLOTZ, Stefan, LIM, Kian Guan
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2017
主題:	Yield curve forecasting Common factors Econometrics Finance
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/5342
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

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