RT Report
T1 The forecasting ability of factor models of the term structure of IRS markets
A1 Novales Cinca, Alfonso Santiago
A1 Abad Romero, Pilar
AB Using estimated principal components as factors, three-factors models are shown to produce forecasts comparable to those of autoregressive models for 2 to 10 year zaero coupon interest rates IRS markets both, for short- and medium- term forecasting horizons. Evidence is provided for the Deutsche mark, Spanish peseta, Japanese yen and US Dollar. Forecast from factor models are also shown to preserve the correlation matrix of interest rates across a given term structure, an important proprerty regarding risk management. The result is quite striking, because factor models are purely static, and forecasts for the factors must be obtained in advance of interest rate forecast.factor models
PB Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
YR 2002
FD 2002
LK https://hdl.handle.net/20.500.14352/64511
UL https://hdl.handle.net/20.500.14352/64511
LA eng
DS Docta Complutense
RD 23 abr 2025