Ben Omrane, Walid; He, Chao; He, Zhongzhi Lawrence; … - In: Managerial Finance 43 (2017) 7, pp. 774-793
Purpose Forecasting the future movement of yield curves contains valuable information for both academic and practical issues such as bonding pricing, portfolio management, and government policies. The purpose of this paper is to develop a dynamic factor approach that can provide more precise and...