The Forecasting Ability of Factor Models of the Term Structure of IRS Markets
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More about this item
Keywords
Factor models; Term structure of interest rates; Principal components; Swap markets; IRS;All these keywords.
JEL classification:
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2003-10-28 (Finance)
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