登入
選單
返回
Google圖書搜尋
Comparing Models for Forecasting the Yield Curve
Marco S. Matsumura
Ajax R. B. Moreira
出版
IPEA
, 2006
URL
http://books.google.com.hk/books?id=EUiyAAAAIAAJ&hl=&source=gbs_api
註釋
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.