Comparing models for forecasting the yield curve

Arbeitspapier

The 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper ; No. 174

Classification and Topics

• Classification: Wirtschaft ; Estimation: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Forecasting Models; Simulation Methods ; Interest Rates: Determination, Term Structure, and Effects ; Financial Markets and the Macroeconomy ; Money and Interest Rates: Forecasting and Simulation: Models and Applications ; Asset Pricing; Trading Volume; Bond Interest Rates ; Contingent Pricing; Futures Pricing; option pricing

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Matsumura, Marco Shinobu ; Moreira, Ajax Reynaldo Bello
• Event: Veröffentlichung
• (who): Institute for Applied Economic Research (ipea)
• (where): Brasília
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/220263
• Last update: 10.03.2025, 11:44 AM CET