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Robust Estimation of Heckman Model Read chapter Read first chapter

2017 | OriginalPaper | Chapter

International Yield Curve Prediction with Common Functional Principal Component Analysis

Authors : Jiejie Zhang, Ying Chen, Stefan Klotz, Kian Guan Lim

Published in: Robustness in Econometrics

Publisher: Springer International Publishing

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Abstract

We propose an international yield curve predictive model, where common factors are identified using the common functional principal component (CFPC) method that enables a comparison of the variation patterns across different economies with heterogeneous covariances. The dynamics of the international yield curves are further forecasted based on the data-driven common factors in an autoregression framework. For the 1-day ahead out-of-sample forecasts of the US, Sterling, Euro and Japanese yield curve from 07 April 2014 to 06 April 2015, the CFPC factor model is compared with an alternative factor model based on the functional principal component analysis.

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Metadata
Title
International Yield Curve Prediction with Common Functional Principal Component Analysis
Authors
Jiejie Zhang
Ying Chen
Stefan Klotz
Kian Guan Lim
Copyright Year
2017
Book
Robustness in Econometrics

Print ISBN: 978-3-319-50741-5

Electronic ISBN: 978-3-319-50742-2

Copyright Year: 2017

DOI
https://doi.org/10.1007/978-3-319-50742-2_17

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