01/11/2012
Ano: 2011
Código: WPE – 233
Autores/Pesquisadores:
Abstract:
We forecast the monthly Euro Interest Rate Swap Curve with an autoregressive principal component model. We compare its predictability accuracy against the Diebold and Li’s dynamic Nelson Siegel, the auto-regressive direct regression of the yield levels and the random walk model. After a robust set of specifications and regression windows, we conclude that our proposed model achieve forecasts that signi cantly outperform the competitor models, mainly for short run horizons.
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