Dynamics of Interest Rate Curve by Functional Auto-Regression

Details Dynamics of Interest Rate Curve by Functional Auto-Regression Dynamics of Interest Rate Curve by Functional Auto-Regression

2004-11-02

arxiv.org/abs/math/0411047v1

Mathematics

Statistics Theory

22 pages

Scientific paper

The paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-regression to the functional data. Such an estimation technique is better suited for prediction purposes as opposed to the methods based either on principal components or canonical correlations. The consistency of the estimator is proved using methods of operator theory. The estimation method is used to analyze dynamics of Eurodollar futures rates. The results suggest that future movements of interest rates are predictable at 1-year horizons.

Affiliated with

Also associated with

No associations

Rating

Dynamics of Interest Rate Curve by Functional Auto-Regression does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Dynamics of Interest Rate Curve by Functional Auto-Regression, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Dynamics of Interest Rate Curve by Functional Auto-Regression will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-340317