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Forecasting multiple-term structures from interbank rates

Lafuente, Juan Angel; Petit, Nuria; Serrano, Pedro - In: International review of financial analysis 57 (2018), pp. 40-56

Persistent link: https://www.econbiz.de/10012006308

Forward-Rates als Prediktor für die Entwicklung der Geldmarktzinsen

Holthusen, Jan - In: Geld- und Wirtschaftspolitik in gesellschaftlicher …, (pp. 255-267). 2004

Persistent link: https://www.econbiz.de/10002412082

Forecasting Term Structure of Libor Swap Rates

Kuo, Mei-Mei - 2013

structure of HIBOR (Hong Kong Interbank Offered Rate) swap rates by means of the Nelson-Siegel factors and principal components … yield levels. Further, we survey the predictability in the shape of the swap yield curve for these models. Our results … forecasting HIBOR swap yields …

Persistent link: https://www.econbiz.de/10013090111

Forecasting term structure of HIBOR swap rates

Kuo, Mei-mei; Tai, Shih-wen; Lin, Bing-huei - In: The international journal of business and finance … 6 (2012) 4, pp. 87-100

Persistent link: https://www.econbiz.de/10009633846

PCA-based ex-ante forecasting of swap term structures

Blaskowitz, Olilver; Herwartz, Helmut - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 465-489

Persistent link: https://www.econbiz.de/10003879073

PCA-Based Ex-Ante Forecasting of Swap Term Structures

Blaskowitz, Oliver; Herwartz, Helmut - 2009

In this study, we forecast the term structure of EURIBOR swap rates by means of rolling vector autoregressive (VAR … statistically assess the forecasting performance for particular rates and the level, slope and curvature of the swap term structure …

Persistent link: https://www.econbiz.de/10014200380