The Forecasting Ability of Factor Models of the Term Structure of IRS Markets
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References listed on IDEAS
- Niffikeer, Cindy I. & Hewins, Robin D. & Flavell, Richard B., 2000. "A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps," Journal of Banking & Finance, Elsevier, vol. 24(12), pages 1903-1932, December.
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- Abad, Pilar & Novales, Alfonso, 2005.
"An error correction factor model of term structure slopes in international swap markets,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 15(3), pages 229-254, July.
- Pilar Abad & Alfonso Novales, 2002. "An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets," Documentos de Trabajo del ICAE 0222, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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KeywordsFactor models; Term structure of interest rates; Principal components; Swap markets; IRS;
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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