Comparing Models for Forecasting the Yield Curve
AbstractThe 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 the performance of the approaches. This exercise compares 4 alternative models for the term structure using 3 different markets: the Brazilian domestic and sovereign market and the US market.
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Bibliographic InfoPaper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1245.
Length: 23 pages
Date of creation: Dec 2006
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-10-06 (All new papers)
- NEP-ECM-2007-10-06 (Econometrics)
- NEP-FOR-2007-10-06 (Forecasting)
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