Add to ORKGA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsThis report deals with one of the remaining key problems in financial decision taking: the forecast of the term structure at different time horizons. Specifically: I will forecast the Euro Interest Rate Swap with a macro factor augmented autoregressive principal component model. I achieve forecasts that significantly outperform the Random Walk for medium to long term horizons when using a short rolling time window. Including macro factors leads to even better results
Forecasting yield curves with regime switches is important in academia and financial industry. As th...
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology wit...
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology wit...
In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the ter...
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vecto...
There are few models for long-term yield forecasting and especially in the Real World Measure. This ...
Recent macro-finance papers have documented the importance of adding information from macro variable...
In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the ter...
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little att...
Among a myriad of existing financial assets, a zero-coupon bond stands out for its simplicity. This ...
We develop a term structure model that decomposes nominal yields into the sum of an expectation, te...
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vecto...
We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of mode...
Abstract: Despite powerful advances in yield curve modeling in the last twenty years, little attenti...
In this thesis, I use macro-finance models to explore the inter-relationships between the macroecono...
Forecasting yield curves with regime switches is important in academia and financial industry. As th...
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology wit...
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology wit...
In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the ter...
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vecto...
There are few models for long-term yield forecasting and especially in the Real World Measure. This ...
Recent macro-finance papers have documented the importance of adding information from macro variable...
In this paper we adopt a principal components analysis (PCA) to reduce the dimensionality of the ter...
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little att...
Among a myriad of existing financial assets, a zero-coupon bond stands out for its simplicity. This ...
We develop a term structure model that decomposes nominal yields into the sum of an expectation, te...
In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vecto...
We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of mode...
Abstract: Despite powerful advances in yield curve modeling in the last twenty years, little attenti...
In this thesis, I use macro-finance models to explore the inter-relationships between the macroecono...
Forecasting yield curves with regime switches is important in academia and financial industry. As th...
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology wit...
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology wit...