TY  - RPRT
AU  - Novales Cinca, Alfonso
AU  - Abad Romero, Pilar
PY  - 2002
UR  - https://hdl.handle.net/20.500.14352/64511
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...
LA  - eng
A3  - Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
KW  - Factor models
KW  - Term structure of interest rates
KW  - Principal components
KW  - Swap markets
KW  - IRS
TI  - The forecasting ability of factor models of the term structure of IRS markets
TY  - technical report
VL  - 2002
ER  -