Forecasting the yield curve of government bonds : a dynamic factor approach
Walid Ben Omrane, Chao He and Zhongzhi Lawrence He and Samir Trabelsi
| Year of publication: |
2017
|
|---|---|
| Authors: | Ben Omrane, Walid ; He, Chao ; He, Zhongzhi Lawrence ; Trabelsi, Samir |
| Published in: |
Managerial finance. - Bingley : Emerald Group Publishing Limited, ISSN 0307-4358, ZDB-ID 750561-9. - Vol. 43.2017, 7, p. 774-793
|
| Subject: | Kalman filter | Dynamic factor model | Yield curve forecasting | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Öffentliche Anleihe | Public bond | Kapitaleinkommen | Capital income | Dynamische Wirtschaftstheorie | Economic dynamics | Prognose | Forecast | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Rendite | Yield | Frühindikator | Leading indicator |