Template-Type: ReDIF-Paper 1.0
Author-Name:  Alexander Dauwe
Author-Name-First: Alexander
Author-Name-Last: Dauwe
Author-Name:  Marcelo L. Moura
Author-Name-First: Marcelo L.
Author-Name-Last: Moura
Title: Forecasting the term structure of the Euro Market using Principal Component Analysis
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 significantly outperform the competitor models, mainly for short run horizons.
Length:  23 pages
Creation-Date:  2011
Order-URL: https://repositorio.insper.edu.br/handle/11224/5839
File-URL: https://repositorio.insper.edu.br/handle/11224/5839
File-Format: text/html
File-Function: Full text
Number: 135
Handle: RePEc:aap:wpaper:135