Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/16221
Título: | Forecasting of yield curves using local state space reconstruction |
Autor(es): | Mena, Filipe C. Covas, Eurico |
Data: | 2011 |
Editora: | Springer |
Revista: | Springer Proceedings in Mathematics |
Resumo(s): | We examine models of yield curves through chaotic dynamical systems whose dynamics can be unfolded using non-linear embeddings in higher dimensions. We refine recent techniques used in the state space reconstruction of spatially extended time series in order to forecast the dynamics of yield curves. We use daily LIBOR GBP data (January 2007-June 2008) in order to perform forecasts over a 1-month horizon. Our method outperforms random walk and other benchmark models on the basis of mean square forecast error criteria. |
Tipo: | Artigo em ata de conferência |
URI: | https://hdl.handle.net/1822/16221 |
ISBN: | 9783642114557 |
DOI: | 10.1007/978-3-642-11456-4_16 |
ISSN: | 2190-5614 |
Versão da editora: | http://www.springer.com/mathematics/dynamical+systems/book/978-3-642-11455-7 |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
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Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Covas-Mena-DYNA-2011.pdf Acesso restrito! | 268,54 kB | Adobe PDF | Ver/Abrir |